MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES

By Monique Jeanblanc, Susanne Kloppel, Yoshio Miyahara. 2007

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Levy models are very popular in finance due to theirtractability and their good fitting properties. However, Levy models typically yieldincomplete markets. This raises the question of which measure one should choosefor valuation or pricing of nonhedgeable payoffs. Very often, a measure is chosenwhich minimizes a particular functional over the set M

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/574a99039a86977cf8904e57316cb54d94a6793c