Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

Hubalek, Friedrich; Sgarra, Carlo

[journal article]

dc.contributor.author	Hubalek, Friedrich	de
dc.contributor.author	Sgarra, Carlo	de
dc.date.accessioned	2011-02-23T03:38:00Z	de
dc.date.accessioned	2012-08-29T23:07:09Z
dc.date.available	2012-08-29T23:07:09Z
dc.date.issued	2006	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22082
dc.description.abstract	In this paper we offer a systematic survey and comparison of the Esscher martingale transform for linear processes, the Esscher martingale trasnform for exponential processes, and the minimal entropy martingale measure for exponential Lévy models and present some new results in order to give a complete characterization of those classes of measures. We illustrate the results with several concrete examples in detail.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Stochastic Jumps; Levy processes; martingale measures; minimal entropy; Esscher transform; Mathematical Finance
dc.title	Esscher transforms and the minimal entropy martingale measure for exponential Lévy models	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	6	de
dc.publisher.country	GBR
dc.source.issue	2	de
dc.subject.classoz	Basic Research, General Concepts and History of Economics	en
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-220820	de
dc.date.modified	2011-03-15T10:11:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	125-145
internal.identifier.classoz	10905
internal.identifier.classoz	10901
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680600573099	de
dc.subject.methods	Theorieanwendung	de
dc.subject.methods	theory application	en
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.methods	15
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

Files in this item

Name:: ssoar-2006-02-hubalek_et_al-es ...
Size:: 398.0Kb
Format:: PDF

View/Open

This item appears in the following Collection(s)

Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Basic Research, General Concepts and History of Economics
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

Show simple item record