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...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2015
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/24007
- Acceso en línea:
- https://repository.urosario.edu.co/handle/10336/24007
- Palabra clave:
- Jump-diffusion process
Jump-telegraph process
Martingales
Nancial modelling
Relative entropy
- Rights
- License
- Abierto (Texto Completo)
| Summary: | 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. |
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