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 | |