Young Shin Kim, Jeong Hyun Lee. The relative entropy in CGMY processes and its applications to finance. Math. Meth. of OR, 66(2):327-338, 2007. [doi]
@article{KimL07-1, title = {The relative entropy in CGMY processes and its applications to finance}, author = {Young Shin Kim and Jeong Hyun Lee}, year = {2007}, doi = {10.1007/s00186-006-0097-x}, url = {http://dx.doi.org/10.1007/s00186-006-0097-x}, researchr = {https://researchr.org/publication/KimL07-1}, cites = {0}, citedby = {0}, journal = {Math. Meth. of OR}, volume = {66}, number = {2}, pages = {327-338}, }