Calculation of the MEMM for geometric Lévy processes and its application to option pricing

Abstract

In this paper, we shall present a useful method to obtain the MEMM (minimal entropy martingale measure) for the typical geometric Lévy processes such as compound Poisson, stable, VG (Variance Gamma), CGMY(Carr-Geman-Madan-Yor), NIG(Normal Inverse Gaussian), etc., and moreover we shall apply the method to value the European call option and Asian call option.