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

Friedrich Hubalek and Carlo Sgarra

Quantitative Finance, 2006, vol. 6, issue 2, 125-145

Abstract: In this paper we offer a systematic survey and comparison of the Esscher martingale transform for linear processes, the Esscher martingale transform for exponential processes, and the minimal entropy martingale measure for exponential Levy 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.

Keywords: Esscher transform; Minimal entropy; Martingale measures; Levy processes (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (27)

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DOI: 10.1080/14697680600573099

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