The minimal entropy martingale measure of a jump process influenced by jump times

Jun Yan and Fuqing Gao

Statistics & Probability Letters, 2013, vol. 83, issue 1, 83-88

Abstract: In this article, we consider the problem of the minimal entropy martingale measure of a jump process influenced by jump times. The minimal entropy martingale measure of the price process is given out by the exponential martingale method, and the expression of the corresponding relative entropy is also obtained.

Keywords: Relative entropy; Minimal entropy martingale measure; Exponential martingale (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:1:p:83-88

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DOI: 10.1016/j.spl.2012.09.001

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