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On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model

Authors :
Kabanov, Yuri
Sonin, Mikhail A.
Publication Year :
2025

Abstract

We consider a stochastic volatility model where the price evolution depend on the exponential of the Ornstein--Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure. is calculated.<br />Comment: 9 pages, 2 figures

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2501.02396
Document Type :
Working Paper