Minimal f q -martingale measures for exponential Lévy processes
Jeanblanc, Monique ; Klöppel, Susanne ; Miyahara, Yoshio
Ann. Appl. Probab., Tome 17 (2007) no. 1, p. 1615-1638 / Harvested from Project Euclid
Let L be a multidimensional Lévy process under P in its own filtration. The fq-minimal martingale measure Qq is defined as that equivalent local martingale measure for $\mathcal {E}(L)$ which minimizes the fq-divergence E[(dQ/dP)q] for fixed q∈(−∞, 0)∪(1, ∞). We give necessary and sufficient conditions for the existence of Qq and an explicit formula for its density. For q=2, we relate the sufficient conditions to the structure condition and discuss when the former are also necessary. Moreover, we show that Qq converges for q↘1 in entropy to the minimal entropy martingale measure.
Publié le : 2007-10-15
Classification:  Lévy processes,  martingale measures,  f^q-minimal martingale measure,  variance minimal martingale measure,  f-divergence,  structure condition,  incomplete markets,  60G51,  91B28
@article{1191419178,
     author = {Jeanblanc, Monique and Kl\"oppel, Susanne and Miyahara, Yoshio},
     title = {Minimal f<sup>
 q
</sup>-martingale measures for exponential L\'evy processes},
     journal = {Ann. Appl. Probab.},
     volume = {17},
     number = {1},
     year = {2007},
     pages = { 1615-1638},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1191419178}
}
Jeanblanc, Monique; Klöppel, Susanne; Miyahara, Yoshio. Minimal f
 q
-martingale measures for exponential Lévy processes. Ann. Appl. Probab., Tome 17 (2007) no. 1, pp.  1615-1638. http://gdmltest.u-ga.fr/item/1191419178/