MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES
MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES
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DOI：
10.1214/07-aap439
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发表时间：
2007-10
影响因子：
1.8
通讯作者：
M. Jeanblanc;Susanne Kloppel;Y. Miyahara
中科院分区：
文献类型：
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作者：
M. Jeanblanc;Susanne Kloppel;Y. Miyahara
Levy 模型由于其易处理性和良好的拟合特性而在金融领域非常受欢迎。然而，征税模型通常会产生不完全市场。这就提出了一个问题：应该选择哪种衡量标准来对不可对冲收益进行估值或定价。通常，选择一种措施来最小化集合 M 上的特定泛函
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