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<p>We consider a stochastic volatility model where the price evolution depends on the exponential of the Ornstein–Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure is calculated.</p>

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On the entropy-minimal martingale measure in the exponential Ornstein–Uhlenbeck stochastic volatility model

  • 期刊论文

  • 发表日期：

    2025年11月19日

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  • Yuri Kabanov,
  • Mikhail A. Sonin

摘要

We consider a stochastic volatility model where the price evolution depends on the exponential of the Ornstein–Uhlenbeck process. After a brief revision of the related theory the entropy-minimal equivalent martingale measure is calculated.