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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps |
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| Authors: | Fred Espen Benth Thilo Meyer-Brandis |
| Affiliation: | (1) Department of Mathematics, University of Oslo, Centre of Mathematics for Applications, Blindern, P.O. Box 1053, 0316 Oslo, Norway;(2) Present address: Department of Economics and Business Administration, Agder University College, Serviceboks 422, 4604 Kristiansand, Norway;(3) Department of Mathematics, University of Oslo, Centre of Mathematics for Applications, Blindern, P.O. Box 1053, 0316 Oslo, Norway |
| Abstract: | |
| Keywords: | Stochastic volatility Lé vy processes subordinators minimal entropy martingale measure density process incomplete market indifference pricing of derivatives integro-partial differential equations |
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