Ítem
Acceso Abierto
On jump-diffusion processes with regime switching: Martingale approach
Título de la revista
Autores
di Crescenzo A.
Ratanov N.
Archivos
Fecha
2015
Directores
ISSN de la revista
Título del volumen
Editor
Instituto Nacional de Matematica Pura e Aplicada
Buscar en:
Métricas alternativas
Resumen
Abstract
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.
Palabras clave
Keywords
Jump-diffusion process , Jump-telegraph process , Martingales , Nancial modelling , Relative entropy
