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~source:"repec"
~subject:"Lévy processes"
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Lévy processes
minimal martingale measure
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equivalent martingale measure
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incomplete markets
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Bender, Christian
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Benth, Fred
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Guegan, Dominique
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Ielpo, Florian
1
Lalaharison, Hanjarivo
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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1
Option pricing with discrete time jump processes.
Guegan, Dominique
;
Ielpo, Florian
;
Lalaharison, Hanjarivo
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2011
and the Minimal Entropy
Martingale
Measure
. We finally assess empirically the performance of this modelling approach …
Persistent link: https://www.econbiz.de/10009225975
Saved in:
2
On q-optimal martingale measures in exponential Lévy models
Bender, Christian
;
Niethammer, Christina
- In:
Finance and Stochastics
12
(
2008
)
3
,
pp. 381-410
Persistent link: https://www.econbiz.de/10005390702
Saved in:
3
The density process of the minimal entropy
martingale
measure
in a stochastic volatility model with jumps
Benth, Fred
;
Meyer-Brandis, Thilo
- In:
Finance and Stochastics
9
(
2005
)
4
,
pp. 563-575
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 …
Persistent link: https://www.econbiz.de/10005390692
Saved in:
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