Minimal q-entropy martingale measures for exponential time-changed Lévy processes
| Year of publication: |
2011
|
|---|---|
| Authors: | Kassberger, Stefan ; Liebmann, Thomas |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 15.2011, 1, p. 117-140
|
| Publisher: |
Springer |
| Subject: | Lévy process | Time change | Subordination | Generalized relative entropy | Martingale measures |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008925429