On jump-diffusion processes with regime switching: Martingale approach
We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these processes by means of the relative entropy. The minimal entropy approach is also developed. It is shown that in contrast to...
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Instituto Nacional de Matematica Pura e Aplicada
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ir-10336-240072022-05-02T12:37:18Z On jump-diffusion processes with regime switching: Martingale approach di Crescenzo A. Ratanov N. Jump-diffusion process Jump-telegraph process Martingales Nancial modelling Relative entropy We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these processes by means of the relative entropy. The minimal entropy approach is also developed. It is shown that in contrast to the case of Lévy processes, for this model an Esscher transformation does not produce the minimal relative entropy. 2015 2020-05-26T00:07:30Z info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repository.urosario.edu.co/handle/10336/24007 eng info:eu-repo/semantics/openAccess application/pdf Instituto Nacional de Matematica Pura e Aplicada instname:Universidad del Rosario |
institution |
EdocUR - Universidad del Rosario |
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DSpace |
language |
Inglés (English) |
topic |
Jump-diffusion process Jump-telegraph process Martingales Nancial modelling Relative entropy |
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Jump-diffusion process Jump-telegraph process Martingales Nancial modelling Relative entropy di Crescenzo A. Ratanov N. On jump-diffusion processes with regime switching: Martingale approach |
description |
We study jump-diffusion processes with parameters switching at random times. Being motivated by possible applications, we characterise equivalent martingale measures for these processes by means of the relative entropy. The minimal entropy approach is also developed. It is shown that in contrast to the case of Lévy processes, for this model an Esscher transformation does not produce the minimal relative entropy. |
format |
Artículo (Article) |
author |
di Crescenzo A. Ratanov N. |
author_facet |
di Crescenzo A. Ratanov N. |
author_sort |
di Crescenzo A. |
title |
On jump-diffusion processes with regime switching: Martingale approach |
title_short |
On jump-diffusion processes with regime switching: Martingale approach |
title_full |
On jump-diffusion processes with regime switching: Martingale approach |
title_fullStr |
On jump-diffusion processes with regime switching: Martingale approach |
title_full_unstemmed |
On jump-diffusion processes with regime switching: Martingale approach |
title_sort |
on jump-diffusion processes with regime switching: martingale approach |
publisher |
Instituto Nacional de Matematica Pura e Aplicada |
publishDate |
2015 |
url |
https://repository.urosario.edu.co/handle/10336/24007 |
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1740172335303884800 |
score |
12,131701 |