On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model

Yuri Kabanov and Mikhail A. Sonin

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Abstract: We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated.

Date: 2025-01
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