Fujisaki, Masatoshi; Zhang, Dewei - In: Asia-Pacific financial markets 16 (2009) 2, pp. 111-139
In this paper, we shall propose a useful approach to evaluate concretely the MEMM (minimal entropy martingale measure) for the typical geometric Lévy processes such as compound Poisson, stable, VG (Variance Gamma), CGMY (Carr-Geman-Madan-Yor), NIG (Normal Inverse Gaussian), etc. In addition, we...