Publikation: On q-optimal martingale measures in exponential Lévy models
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2008
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Bender, Christian
Niethammer, Christina R.
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Finance and Stochastics. 2008, 12(3), pp. 381-410. Available under: doi: 10.1007/s00780-008-0067-7
Zusammenfassung
We give a sufficient condition to identify the q-optimal signed and the q-optimal absolutely continuous martingale measures in exponential Lévy models. As a consequence we find that, in the one-dimensional case, the q-optimal equivalent martingale measures may exist only, if the tails for upward jumps are extraordinarily light. Moreover, we derive convergence of the q-optimal signed, resp. absolutely continuous, martingale measures to the entropy minimal martingale measure as q approaches one. Finally, some implications for portfolio optimization are discussed.
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Fachgebiet (DDC)
510 Mathematik
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stochastic duality, q-optimal martingale measure, minimal entropy martingale measure, Lévy processes
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BENDER, Christian, Christina R. NIETHAMMER, 2008. On q-optimal martingale measures in exponential Lévy models. In: Finance and Stochastics. 2008, 12(3), pp. 381-410. Available under: doi: 10.1007/s00780-008-0067-7BibTex
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year={2008},
doi={10.1007/s00780-008-0067-7},
title={On q-optimal martingale measures in exponential Lévy models},
number={3},
volume={12},
journal={Finance and Stochastics},
pages={381--410},
author={Bender, Christian and Niethammer, Christina R.}
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