gesis-ssoar-22082

Property	Value
?:abstract	In this paper we offer a systematic survey and comparison of the Esscher martingale transform for linear processes, the Esscher martingale trasnform 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. (xsd:string)
?:contributor	<https://data.gesis.org/gesiskg/resource/gesis-ssoar-22082_Hubalek_Friedrich> <https://data.gesis.org/gesiskg/resource/gesis-ssoar-22082_Sgarra_Carlo>
?:dateModified	2006 (xsd:gyear)
?:datePublished	2006 (xsd:gyear)
?:doi	10.1080/14697680600573099 ()
?:duplicate	<https://data.gesis.org/gesiskg/resource/duplicate_gesis-ssoar-22082_gesis-ssoar-22082>
?:hasFulltext	true (xsd:boolean)
is ?:hasPart of	<https://data.gesis.org/gesiskg/resource/>
?:inLanguage	en (xsd:string)
?:isPartOf	<https://data.gesis.org/gesiskg/resource/Quantitative_Finance>
?:issueNumber	2 (xsd:string)
?:linksDOI	<https://doi.org/10.1080/14697680600573099>
?:linksURN	<http://nbn-resolving.de/urn%3Anbn%3Ade%3A0168-ssoar-220820>
is ?:mainEntity of	<https://data.gesis.org/gesiskg/resource/duplicate_gesis-ssoar-22082_gesis-ssoar-22082>
?:name	Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (xsd:string)
?:provider	<http://www.peerproject.eu/> <https://data.gesis.org/gesiskg/resource/SSOAR_-_Social_Science_Open_Access_Repository>
?:publicationType	Zeitschriftenartikel (xsd:string) journal_article (en)
?:sourceInfo	GESIS-SSOAR (xsd:string) In: Quantitative Finance, 6, 2006, 2, 125-145 (xsd:string)
rdf:type	<https://schema.org/ScholarlyArticle>
?:url	<http://www.ssoar.info/ssoar/handle/document/22082>
?:urn	urn:nbn:de:0168-ssoar-220820 ()
?:volumeNumber	6 (xsd:string)