The minimal entropy martingale measure of a jump process influenced by jump times

In this article, we consider the problem of the minimal entropy martingale measure of a jump process influenced by jump times. The minimal entropy martingale measure of the price process is given out by the exponential martingale method, and the expression of the corresponding relative entropy is also obtained.

MoreLess

Year of publication:	2013
Authors:	Yan, Jun ; Gao, Fuqing
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 1, p. 83-88
Publisher:	Elsevier
Subject:	Relative entropy \| Minimal entropy martingale measure \| Exponential martingale

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010593913