and the Minimal Entropy Martingale Measure. We finally assess empirically the performance of this modelling approach …

and the Minimal Entropy Martingale Measure. We finally assess empirically the performance of this modelling approach …

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 Esscher transform and the Minimal Entropy Martingale Measure. We finally assess empirically the performance of this …

market incompleteness by giving an explicit characterization of the minimal entropy martingale measure. We give an …