Esscher-Transformed Martingale Measures

Yoshio Miyahara
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Yoshio Miyahara: Nagoya City University, Japan

Chapter 4 in Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, 2011, pp 29-40 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Esscher TransformationEsscher-Transformed Martingale Measure for Geometric Lévy ProcessesSimple-return process and compound-return processTwo kinds of Esscher-transformed martingale measureExistence Theorems of P(ESSMM) and $\^{P}^{(ESSMM)}$ for Geometric Lévy ProcessesExistence theorem of P(ESSMM)Existence theorem of $\^{P}^{(ESSMM)}$Comparison of P(ESSMM) and $\^{P}^{(ESSMM)}$Other Examples of Esscher-Transformed Martingale MeasuresNotes

Keywords: Mathematical Finance; Incomplete Market; Option Pricing; Lévy Process; Minimal Entropy Martingale Measure; Calibration of [GLP & MEMM] Models (search for similar items in EconPapers)
Date: 2011
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