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Mathematical Methods of Operations Research
Volumn 66, Issue 2, 2007, Pages 327-338
The relative entropy in CGMY processes and its applications to finance
Author keywords

CGMY process; Esscher transform; Incomplete market; Minimal entropy martingale measure; Relative entropy
Indexed keywords

COST FUNCTIONS; FINANCE; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS;
EID: 34848831577     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-006-0097-x     Document Type: Article
Times cited : (15)
References (12)
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    • Black, F.1    Scholes, M.2
  • 4
    • 0002488565 scopus 로고    scopus 로고
    • Option valuation using the fast fourier transform
    • 4
    • Carr P, Madan DB (1999) Option valuation using the fast fourier transform. J Comput Finance 2(4):61-73
    • (1999) J Comput Finance , vol.2 , pp. 61-73
    • Carr, P.1    Madan, D.B.2
  • 5
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    • The fine structure of asset returns: An empirical investigation
    • 2
    • Carr P, Geman H, Madan D, Yor M (2002) The fine structure of asset returns: an empirical investigation. J Bus 75(2):305-332
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    • Carr, P.1    Geman, H.2    Madan, D.3    Yor, M.4
  • 6
    • 21244435312 scopus 로고    scopus 로고
    • Nonparametric calibration of jump-diffusion option pricing models
    • 3
    • Cont R, Tankov P (2004a) Nonparametric calibration of jump-diffusion option pricing models. J Comput Finance 7(3):1-49
    • (2004) J Comput Finance , vol.7 , pp. 1-49
    • Cont, R.1    Tankov, P.2
  • 8
    • 7544245309 scopus 로고    scopus 로고
    • The minimal entropy martingale measures for geometric Lévy processes
    • Fujiwara T, Miyahara Y (2003) The minimal entropy martingale measures for geometric Lévy processes. Financ & Stoch 7:509-531
    • (2003) Financ & Stoch , vol.7 , pp. 509-531
    • Fujiwara, T.1    Miyahara, Y.2
  • 10
    • 0000644312 scopus 로고
    • Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process
    • Koponen I (1995) Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process. Phy Rev E 52:1197-1199
    • (1995) Phy Rev e , vol.52 , pp. 1197-1199
    • Koponen, I.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.