Minimal q-entropy martingale measures for exponential time-changed Lévy processes

Stefan Kassberger and Thomas Liebmann ()

Finance and Stochastics, 2011, vol. 15, issue 1, 117-140

Keywords: Lévy process; Time change; Subordination; Generalized relative entropy; Martingale measures; 60G44; 60G51; 91B28; G10 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s00780-010-0133-9

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