Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely:  consider structure preserving measure transforms for time-changed Levy processes. Within this class of transforms preserving the time-changed Levy structure,  derive equivalent martingale measures minimizing relative q-entropy. They combine the corresponding transform for the Levy process with an Esscher transform on the time change. Structure preservation is found to be an inherent property of minimal q-entropy martingale measures under continuous time changes, whereas it imposes an additional restriction for discontinuous time changes.
['Stefan Kassberger', 'Thomas Liebmann']
I am writing a research paper on a idea Minimal q-entropy martingale measures for exponential time-changed Lévy processes
[{"from": "human", "value": "I am writing a research paper on a idea Minimal q-entropy martingale measures for exponential time-changed L\u00e9vy processes"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely:  consider structure preserving measure transforms for time-changed Levy processes. Within this class of transforms preserving the time-changed Levy structure,  derive equivalent martingale measures minimizing relative q-entropy. They combine the corresponding transform for the Levy process with an Esscher transform on the time change. Structure preservation is found to be an inherent property of minimal q-entropy martingale measures under continuous time changes, whereas it imposes an additional restriction for discontinuous time changes."}]