Minimal Distance Martingale Measures for Geometric Lévy Processes

Yoshio Miyahara
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Yoshio Miyahara: Nagoya City University, Japan

Chapter 6 in Option Pricing in Incomplete Markets:Modeling Based on Geometric Lévy Processes and Minimal Entropy Martingale Measures, 2011, pp 47-73 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Minimal Distance ProblemThe Minimal Variance Equivalent Martingale Measure (MVEMM)Deterministic problemExistence theorem of the MVEMMGenerating triplet of Zt under MVEMMThe Minimal Lq Equivalent Martingale MeasureThe case of q > 1The case of 0 < q < 1The case of q < 0Minimal Entropy Martingale MeasuresConvergence of MLqEMM to MEMM (as q ↓ 1)Notes

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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