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      Levy preservation and associated properties for \(f\)-divergence minimal equivalent martingale measures

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          Abstract

          We study such important properties of \(f\)-divergence minimal martingale measure as Levy preservation property, scaling property, invariance in time property for exponential Levy models. We give some useful decomposition for \(f\)-divergence minimal martingale measures and we answer on the question which form should have \(f\) to ensure mentioned properties. We show that \(f\) is not necessarily common \(f\)-divergence. For common \(f\)-divergences, i.e. functions verifying \(f"(x) = ax^ {\gamma},\, a>0,\, \gamma \in \mathbb R\), we give necessary and sufficient conditions for existence of \(f\)-minimal martingale measure.

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          A Guided Tour through Quadratic Hedging Approaches

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            Minimal Hellinger martingale measures of order q

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              MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS

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                Author and article information

                Journal
                14 June 2011
                Article
                1106.2743
                772d35e4-b9eb-4031-b618-7378b1907368

                http://arxiv.org/licenses/nonexclusive-distrib/1.0/

                Custom metadata
                60G07, 60G51, 91B24
                N{\deg} 297, decembre 2010
                30 pages, no figures
                math.PR

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