Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support

The Minimal Entropy Martingale Measure for General Barndorff-Nielsen/Shephard Models

Thorsten Rheinländer and Gallus Steiger
The Annals of Applied Probability
Vol. 16, No. 3 (Aug., 2006), pp. 1319-1351
Stable URL: http://www.jstor.org/stable/25442799
Page Count: 33
  • Read Online (Free)
  • Download ($19.00)
  • Subscribe ($19.50)
  • Cite this Item
If you need an accessible version of this item please contact JSTOR User Support
The Minimal Entropy Martingale Measure for General Barndorff-Nielsen/Shephard Models
Preview not available

Abstract

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 Lévy 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.

Page Thumbnails

  • Thumbnail: Page 
1319
    1319
  • Thumbnail: Page 
1320
    1320
  • Thumbnail: Page 
1321
    1321
  • Thumbnail: Page 
1322
    1322
  • Thumbnail: Page 
1323
    1323
  • Thumbnail: Page 
1324
    1324
  • Thumbnail: Page 
1325
    1325
  • Thumbnail: Page 
1326
    1326
  • Thumbnail: Page 
1327
    1327
  • Thumbnail: Page 
1328
    1328
  • Thumbnail: Page 
1329
    1329
  • Thumbnail: Page 
1330
    1330
  • Thumbnail: Page 
1331
    1331
  • Thumbnail: Page 
1332
    1332
  • Thumbnail: Page 
1333
    1333
  • Thumbnail: Page 
1334
    1334
  • Thumbnail: Page 
1335
    1335
  • Thumbnail: Page 
1336
    1336
  • Thumbnail: Page 
1337
    1337
  • Thumbnail: Page 
1338
    1338
  • Thumbnail: Page 
1339
    1339
  • Thumbnail: Page 
1340
    1340
  • Thumbnail: Page 
1341
    1341
  • Thumbnail: Page 
1342
    1342
  • Thumbnail: Page 
1343
    1343
  • Thumbnail: Page 
1344
    1344
  • Thumbnail: Page 
1345
    1345
  • Thumbnail: Page 
1346
    1346
  • Thumbnail: Page 
1347
    1347
  • Thumbnail: Page 
1348
    1348
  • Thumbnail: Page 
1349
    1349
  • Thumbnail: Page 
1350
    1350
  • Thumbnail: Page 
1351
    1351