On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model
arXiv:2501.02396
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.
9 pages, 2 figures