The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model

Romuald Momeya () and Zied Salah ()

Asia-Pacific Financial Markets, 2012, vol. 19, issue 1, 63-98

Keywords: Incomplete markets; Minimal entropy martingale measure; Markov additive process; Lévy process; Regime-switching model (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10690-011-9142-8

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