Abstract

The minimal entropy martingale measures for geometric Levy processes are investigated. It is shown that, under a quite mild condition, the measures can be defined and furthermore represented explicitly. Also, the difference/identification between the minimal entropy martingale measure and the minimal martingale measure for a given geometric Levy process is discussed.

Key words: geometric Levy processes, equivalent (local) martingale measures, minimal entropy martingale measures, Esscher transformation, minimal martingale measures.