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most cited-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point

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q-fin.PM2010★ 1 cited

-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…