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The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
Momeya, Romuald Hervé; Ben Salah, Zied - In: Asia-Pacific financial markets 19 (2012) 1, pp. 63-98
Persistent link: https://www.econbiz.de/10009532269
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Option pricing for symmetric Lévy returns with applications
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52
Persistent link: https://www.econbiz.de/10010511553
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Jointly estimating jump beats
Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10010337468
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Shifting martingale measures and the birth of a bubble as a submartingale
Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin - In: Finance and stochastics 18 (2014) 2, pp. 297-326
Persistent link: https://www.econbiz.de/10010340747
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Option pricing with discrete time jump processes
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445
Persistent link: https://www.econbiz.de/10010348134
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A market-based martingale valuation approach to optimum inventory control in a doubly stochastic jump-diffusion economy
Chang, Jack S. K.; Chang, Carolyn; Shi, Min - In: Journal of the Operational Research Society : OR 66 (2015) 3, pp. 405-420
Persistent link: https://www.econbiz.de/10010487462
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Convex Comparison of Minimal Divergence Martingale Measures in Discrete Time Models
Bellini, Fabio - 2012
We refine some criteria for the convex comparison of martingale densities suggested in Franke et al. (1999) and Bellini … apply these conditions to the case of minimal f-divergence martingale measures, establishing an ordering result in the case …
Persistent link: https://www.econbiz.de/10013103576
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On Martingale Measures and Pricing for Continuous Bond-Stock Market with Stochastic Bond
Dokuchaev, Nikolai - 2014
equivalent martingale measure is not unique for this market, and there are non-replicable claims. The martingale prices and the … hedging error can vary significantly and take extreme values, for some extreme choices of the equivalent martingale measures …. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures …
Persistent link: https://www.econbiz.de/10013067602
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Explicit representations for utility indifference prices
Hess, Markus - In: Applied mathematical finance 28 (2021) 1, pp. 23-47
Persistent link: https://www.econbiz.de/10012625986
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Weak time-derivatives and no-arbitrage pricing
Marinacci, Massimo; Severino, Federico - In: Finance and stochastics 22 (2018) 4, pp. 1007-1036
Persistent link: https://www.econbiz.de/10011946595