1 citations · 2 across the 4 of their papers we have counts for
4 papers
Levy preservation and associated properties for -divergence minimal equivalent martingale measures
S. Cawston, L. Vostrikova
We study such important properties of -divergence minimal martingale measure as Levy preservation property, scaling property, invariance in time property for exponential Levy mo…
An -divergence approach for optimal portfolios in exponential Levy models
S. Cawston, L. Vostrikova
We present a unified approach to get explicit formulas for utility maximising strategies in Exponential Levy models. This approach is related to -divergence minimal martingale m…
-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point
S. Cawston, L. Vostrikova
We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we des…
On continuity properties for option prices in exponential Lévy models
S. Cawston, L. Vostrikova
For a converging sequence of exponential Lévy models, we give conditions under which the associated sequence of option prices converges. We also study the behaviour of the prices w…