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math.PR2011
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…
math.PR2010
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…
math.PR2009★ 1 cited
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…