Hubalek, Friedrich; Sgarra, Carlo - In: Stochastic Processes and their Applications 119 (2009) 7, pp. 2137-2157
We compute and then discuss the Esscher martingale transform for exponential processes, the Esscher martingale transform for linear processes, the minimal martingale measure, the class of structure preserving martingale measures, and the minimum entropy martingale measure for stochastic...
