The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
Probability
2016-08-16 v1 Statistical Finance
Abstract
We determine the minimal entropy martingale measure for a general class of stochastic volatility models where both price process and volatility process contain jump terms which are correlated. This generalizes previous studies which have treated either the geometric L\'{e}vy case or continuous price processes with an orthogonal volatility process. We proceed by linking the entropy measure to a certain semi-linear integro-PDE for which we prove the existence of a classical solution.
Keywords
Cite
@article{arxiv.math/0610219,
title = {The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models},
author = {Thorsten Rheinländer and Gallus Steiger},
journal= {arXiv preprint arXiv:math/0610219},
year = {2016}
}
Comments
Published at http://dx.doi.org/10.1214/105051606000000240 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)