The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models

• 成果类型: Article
• 署名作者: Rheinlaender, Thorsten; Steiger, Gallus
• 署名单位: University of London; London School Economics & Political Science; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051606000000240
• 发表日期: 2006
• 页码: 1319-1351
• 关键词: ornstein-uhlenbeck type; stochastic volatility; incomplete markets; valuation

摘要

We determine the minimal entropy martingale measure for a general class of stochastic volatility models where both price process and volatility process contain jump terms which are correlated. This generalizes previous studies which have treated either the geometric Levy case or continuous price processes with an orthogonal volatility process. We proceed by linking the entropy measure to a certain semi-linear integro-PDE for which we prove the existence of a classical solution.