The Minimal Entropy Martingale Measures for Exponential Additive Processes

Springer Science and Business Media LLC - Tập 16 - Trang 65-95 - 2009
Tsukasa Fujiwara1
1Department of Mathematics, Hyogo University of Teacher Education,Kato, Hyogo, Japan

Tóm tắt

In this paper, we will consider exponential additive processes as a financial market model. Under a mild condition, we will determine the minimal entropy martingale measures (MEMMs) for the exponential additive processes. To this end, we will prepare several results on the exponential moment of additive processes and integrals based on them. As an application of our result, we will deduce optimal strategy for exponential utility maximization problem. We will also investigate our result through several examples, such as time-dependent versions of double Poisson model, Merton model and Kou model.

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