The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model

ISSN： 1387-2834

Source： Financial Engineering and the Japanese Markets, Vol.19, Iss.1, 2012-03, pp. : 63-98

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

The Relations between Minimal Martingale Measure and Minimal Entropy Martingale Measure

By Arai T.

Financial Engineering and the Japanese Markets, Vol. 8, Iss. 2, 2001-06 ,pp. : 167-177

Springer Publishing Company

Access to resources Recommend Favorite

[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems

By Miyahara Y.

Financial Engineering and the Japanese Markets, Vol. 8, Iss. 1, 2001-03 ,pp. : 45-60

Springer Publishing Company

Access to resources Recommend Favorite

Minimal Entropy Martingale Measures of Jump Type Price Processes in Incomplete Assets Markets

By Miyahara Y.

Financial Engineering and the Japanese Markets, Vol. 6, Iss. 2, 1999-06 ,pp. : 97-113

Springer Publishing Company

Access to resources Recommend Favorite

Evaluation of the MEMM, Parameter Estimation and Option Pricing for Geometric Lévy Processes

By Fujisaki Masatoshi

Financial Engineering and the Japanese Markets, Vol. 16, Iss. 2, 2009-06 ,pp. : 111-139

Springer Publishing Company

Access to resources Recommend Favorite

Risk measures for derivatives with Markov-modulated pure jump processes

By Elliott Robert

Financial Engineering and the Japanese Markets, Vol. 13, Iss. 2, 2006-06 ,pp. : 129-149

Springer Publishing Company

Access to resources Recommend Favorite