Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
by Friedrich Hubalek and Carlo Sgarra
Thiele Research Reports
Number 13 (November 2005)
In this paper we offer a systematic survey and comparison of the Esscher martingale transform for linear processes, the Esscher martingale transform for exponential processes, and the minimal entropy martingale measure for exponential lévy models and present some new results in order to give a complete characterization of those classes of measures. We illustrate the results with several concrete examples in detail.
Published in Quantitative Finance 2006, Volume 6, Issue 2, 125-145.
This publication also serves as Research Reports number 466
