Minimal fq-martingale measures for exponential Lévy processes
نویسندگان
چکیده
منابع مشابه
Minimal F Q - Martingale Measures for Exponential Lévy Processes
Let L be a multidimensional Lévy process under P in its own filtration. The f-minimal martingale measure Qq is defined as that equivalent local martingale measure for E(L) which minimizes the f-divergence E [ (dQ/dP ) ] for fixed q ∈ (−∞, 0) ∪ (1,∞). We give necessary and sufficient conditions for the existence of Qq and an explicit formula for its density. For q = 2, we relate the sufficient c...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2007
ISSN: 1050-5164
DOI: 10.1214/07-aap439