Bühlmann, H., Delbaen, F., Embrechts, P., and Shiryaev, A. N. (1996) No-arbitrage, change of measure and conditional Esscher transforms, CWI Quarterly
9 (4), 291-317.
Chan, T. (1999) Pricing contingent claims on stocks derived by Lévy processes, The Ann. Appl. Probab.
9 (2), 504-528.
Delbaen, F. and Schachermayer, W. (1996) The variance-optimal martingale measure for continuous processes, Bernoulli
Eberlein, E. and Keller, U. (1995) Hyperbolic distributions in finance, Bernoulli
Fama, E. F. (1963) Mandelbrot and the stable paretian hypothesis, J. Busin.
Föllmer, H. and Schweizer, M. (1991) Hedging of contingent claims under incomplete information. In M. H. A. Davis and R. J. Elliot (ed.), Applied Stochastic Analysis, Gordon and Breach, pp. 389-414.
Frittelli, M. (2000) The minimal entropy martingale measures and the valuation problem in incomplete markets, Mathematical Finance
Hurst, S. R., Platen, E., and Rachev, T. (1996) Subordinated Markov index models: A comparison.
Ikeda, N. and Watanabe, S. (1989) Stochastic Differential Equations and Diffusion Processes, 2nd edn, North-Holland.
Kunita, H. and Watanabe, S. (1967) On square-integrable martingales, Nagoya Math. J.
Mandelbrot, B. (1963) The variation of certain speculative prices, J. Busin.
Merton, R. C. (1976) Option pricing when underlying stock returns are discontinuous, J. Financ. Econom.
Mittnik, S., Paolella, M. S., and Rachev, S. T. (1997) A tail estimator for the index of the stable paretian distribution.
Miyahara, Y. (1996a) Canonical martingale measures of incomplete assets markets. In S. Watanabe et al. (eds), Probability Theory and Mathematical Statistics: Proceedings of the Seventh Japan-Russia Symposium, Tokyo 1995, pp. 343-352.
Miyahara, Y. (1996b) Canonical martingale measures and minimal martingale measures of incomplete assets markets, The Australian National University Research Report, No. FMRR 007-96, pp. 95-100.
Miyahara, Y. (1999a) Minimal entropy martingale measures of jump type price processes in incomplete assets markets, Asian-Pacific Financial Markets
6 (2), 97-113.
Miyahara, Y. (1999b) Minimal relative entropy martingale measures of geometric Lévy processes and option pricing models in incomplete markets, Discussion Papers in Economics, Nagoya City University, No. 249, pp. 1-8.
Miyahara, Y. (1999c) Minimal relative entropy martingale measures and their applications to option pricing theory. In Proceedings of JIC99, The 5-th JAFEE International Conference, pp. 316-323.
Miyahara, Y. (2000a) A theorem related to LogLévy processes and its application to option pricing problems in incomplete markets. In L. Accardi, H.-H. Kuo, N. Obata, K. Saito, Si Si, and L. Streit (eds), Trends in Contemporary Infinite Dimensional Analysis and Quantum Probability, Italian School of East Asian Studies, Natural and Mathematical Sciences Series 3, Instituto Italiano di Cultura (Kyoto).
Sato, K. (1999) Lévy Processes and Infinitely Divisible Distributions, Cambridge University Press.
Shiryaev, A. N. (1999) Essentials of Stochastic Finance: Facts, Models, Theory, World Scientific.
Xiao, K., Miyahara, Y., and Misawa, T. (1999) Computer simulation of [Geometric Lévy Process & MEMM] pricing model, preprint.