In the present paper, a new and simple approach is provided for proving rigorously that for general Lévy financial markets the minimal entropy martingale measure and the Esscher martingale measure coincide. The method consists in approximating the probability measure $\mathbb{P}$ by a sequence of Lévy preserving probability measures ${\mathbb{P}}_n$ with exponential moments of all order. As a by-product, it turns out that the problem of finding the minimal entropy martingale measure for the Lévy market is equivalent to the corresponding problem but for a certain one-step financial market. The existence of the Esscher martingale measure (and hence the minimal entropy martingale measure) will be characterized by using moment generating functions of the Lévy process.

在本文中，提供了一种新的简单方法来严格证明对于一般Lévy金融市场来说，最小熵mar度量和Esscher ting度量是一致的。该方法在于近似概率测度$\mathbb{P}$ 通过一系列Lévy保留概率测度 ${\mathbb{P}}_{ñ}$所有阶次的指数时刻 作为副产品，事实证明，为Lévy市场寻找最小熵mar度量的问题与相应的问题等效，但对于某个一步式金融市场而言。Esscher ting测度（以及最小熵mar测度）的存在将通过使用Lévy过程的矩生成函数来表征。