Equivalent martingale measures and ramifica - tions
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Martingale measures for the geometric Lévy process models
The equivalent martingale measures for the geometric Lévy processes are investigated. They are separated to two groups. One is the group of martingale measures which are obtained by Esscher transform. The other one is such group that are obtained as the minimal distance martingale measures. We try to obtain the explicit forms of the martingale measures, and we compare the properties of the mart...
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In this paper we give a characterization of minimal distance martingale measures with respect to f-divergence distances in a general semimartin-gale market model. We provide necessary and suucient conditions for minimal distance martingale measures and determine them explicitly for exponential L evy processes with respect to several classical distances. It is shown that the minimal distance mar...
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متن کاملA Note on Esscher Transformed Martingale Measures for Geometric Lévy Processes
The Esscher transform is one of the very useful methods to obtain the reasonable equivalent martingale measures, and it is defined with relation to the corresponding risk process. In this article we consider two kinds of risk processes (compound return process and simple return process). Then we obtain two kinds of Esscher transformed martingale measures. The first one is the one which was intr...
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تاریخ انتشار 2009