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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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
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Abierto (Texto Completo)
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dc.title.spa.fl_str_mv On jump-diffusion processes with regime switching: Martingale approach
title On jump-diffusion processes with regime switching: Martingale approach
spellingShingle On jump-diffusion processes with regime switching: Martingale approach
Jump-diffusion process
Jump-telegraph process
Martingales
Nancial modelling
Relative entropy
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
dc.subject.keyword.spa.fl_str_mv Jump-diffusion process
Jump-telegraph process
Martingales
Nancial modelling
Relative entropy
topic Jump-diffusion process
Jump-telegraph process
Martingales
Nancial modelling
Relative entropy
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.
publishDate 2015
dc.date.created.spa.fl_str_mv 2015
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dc.type.eng.fl_str_mv article
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dc.relation.citationIssue.none.fl_str_mv No. 2
dc.relation.citationStartPage.none.fl_str_mv 573
dc.relation.citationTitle.none.fl_str_mv Alea (Rio de Janeiro)
dc.relation.citationVolume.none.fl_str_mv Vol. 12
dc.relation.ispartof.spa.fl_str_mv Alea (Rio de Janeiro), Vol.12, No.2 (2015); pp. 573-596
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dc.publisher.spa.fl_str_mv Instituto Nacional de Matematica Pura e Aplicada
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