The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model
| Year of publication: |
2012
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|---|---|
| Authors: | Momeya, Romuald ; Salah, Zied |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 19.2012, 1, p. 63-98
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| Publisher: |
Springer |
| Subject: | Incomplete markets | Minimal entropy martingale measure | Markov additive process | Lévy process | Regime-switching model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866374