Optimal Martingale Measures

Thorsten Rheinländer and Jenny Sexton
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Thorsten Rheinländer: London School of Economics and Political Science, UK
Jenny Sexton: University of Manchester, UK

Chapter 9 in Hedging Derivatives, 2011, pp 195-218 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Esscher measureGeometric caseLinear caseMinimal entropy martingale measureOptimal martingale measure equationExponential Lévy caseOrthogonal volatility caseContinuous SV modelsVariance-optimal martingale measureq-optimal martingale measureMinimal martingale measureNotes and further reading

Keywords: Hedging; Financial Derivatives; Martingale Measures; Incomplete Markets; Stochastic Volatility; Lévy Processes (search for similar items in EconPapers)
Date: 2011
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