Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

By Friedrich Hubalek, Carlo Sgarra. 2006

115 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/1be725b6a2a895c0887d851d03f79156577b79a1

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In Demography

1. Attilio Meucci
2. Gianluca Fusai

In Finance

1. Attilio Meucci
2. Gianluca Fusai

Citations in the corpus

• Pricing discretely monitored Asian options under Levy processes (2008, background): “5 A discussion on the di¤erent choices of an equivalent martingale measure with reference to Lévy Processes can be found for example in Chan (1999) and in Hubalek and Sgarra (2006).”