- Abstract:
-
We consider an incomplete market model with one traded stock and two correlated Brownian motions W, over(W, ̃). The Brownian motion W drives the stock price, whose volatility and Sharpe ratio are adapted to the filtration over(F, ̃) {colon equals} (over(F, ̃)t)0 ≤ t ≤ T generated by over(W, ̃). We show that the projections of the minimal entropy and minimal martingale measures onto over(F, ̃)T are related by an Esscher transform involving the correlation between W, over(W, ̃), and the mean-va...
Expand abstract - Publication status:
- Published
- Publisher copy:
- 10.1016/j.spl.2007.01.008
-
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- Journal:
- STATISTICS and PROBABILITY LETTERS
- Volume:
- 77
- Issue:
- 11
- Pages:
- 1070-1076
- Publication date:
- 2007-06-15
- DOI:
- ISSN:
-
0167-7152
- URN:
-
uuid:95bfa3a5-a154-43de-ae07-09e2cc2bdecd
- Source identifiers:
-
27584
- Local pid:
- pubs:27584
- Language:
- English
- Keywords:
- Copyright date:
- 2007
Journal article
The minimal entropy measure and an Esscher transform in an incomplete market model
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