On q-optimal martingale measures in exponential Lévy models

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BENDER, Christian, Christina R. NIETHAMMER, 2008. On q-optimal martingale measures in exponential Lévy models. In: Finance and Stochastics. 12(3), pp. 381-410

@article{Bender2008q-opt-816, title={On q-optimal martingale measures in exponential Lévy models}, year={2008}, doi={10.1007/s00780-008-0067-7}, number={3}, volume={12}, journal={Finance and Stochastics}, pages={381--410}, author={Bender, Christian and Niethammer, Christina R.} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/816"> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:48:59Z</dcterms:available> <dc:contributor>Bender, Christian</dc:contributor> <dc:language>eng</dc:language> <dc:rights>deposit-license</dc:rights> <dcterms:issued>2008</dcterms:issued> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dcterms:title>On q-optimal martingale measures in exponential Lévy models</dcterms:title> <dc:creator>Niethammer, Christina R.</dc:creator> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dc:contributor>Niethammer, Christina R.</dc:contributor> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:48:59Z</dc:date> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/816"/> <dc:creator>Bender, Christian</dc:creator> <dcterms:bibliographicCitation>Publ. in: Finance and Stochastics 12 (2008), 3, pp. 381-410</dcterms:bibliographicCitation> </rdf:Description> </rdf:RDF>

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