the presence of catastrophic events. Risk-neutral measures are characterized and in particular, the minimal entropy … the claim B w.r.t. the minimal entropy martingale measure is computed by using filtering techniques. …

describe the price dynamics of the underlying asset, and the minimal entropy martingale measure for those jumps is used as the …

called the model preserving minimal entropy martingale measure. Copyright Springer-Verlag 2007 …

called the model preserving minimal entropy martingale measure. Copyright Springer-Verlag 2007 …

with constant wall heat flux based on minimal entropy generation principle. Two working fluids, water and air, are …

Esscher martingale transform for exponential processes, and the minimal entropy martingale measure for exponential Levy models …

We derive the density process of the minimal entropy martingale measure in the stochastic volatility model proposed by … processes determining the price and volatility are explicitly given under the minimal entropy martingale measure, and we derive … a Black & Scholes equation with integral term for the price dynamics of derivatives. It turns out that the minimal …