Esscher transforms and the minimal entropy martingale measure for exponential Levy models
Year of publication: |
2006
|
---|---|
Authors: | Hubalek, Friedrich ; Sgarra, Carlo |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 6.2006, 2, p. 125-145
|
Publisher: |
Taylor & Francis Journals |
Subject: | Esscher transform | Minimal entropy | Martingale measures | Levy processes |
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