Abstract.
The minimal entropy martingale measures (MEMMs) for geometric Lévy processes are investigated. It is shown that, under a quite mild condition, the MEMMs can be defined and furthermore represented explicitly. Furthermore, it is shown that the MEMM price is the limit of the utility indifference price as the risk aversion parameter tends to 0.
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Manuscript received: March 2002; final version received: September 2002
T. Fujiwara would like to express sincere gratitude to Professor Nagai for fruitful discussions. He was supported by Grant-in-Aid for Scientific Research No.13440033, JSPS. Y. Miyahara was supported by Grant-in-Aid for Scientific Research No.13640131, JSPS.
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Fujiwara, T., Miyahara, Y. The minimal entropy martingale measures for geometric Lévy processes. Finance Stochast 7, 509–531 (2003). https://doi.org/10.1007/s007800200097
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DOI: https://doi.org/10.1007/s007800200097