Minimal $f^q$-martingale measures for exponential Lévy processes

Monique Jeanblanc, Susanne Klöppel, Yoshio Miyahara

Let $L$ be a multidimensional Lévy process under $P$ in its own filtration. The $f^q$-minimal martingale measure $Q_q$ is defined as that equivalent local martingale measure for $\…