Minimal Entropy Martingale Measure in generalized Barndorff-Nielsen/Shephard Models

We determine the minimal entropy martingale measure in a general class of stochastic volatility models where both price and volatility process contain jump terms which are correlated. This generalizes previous studies which have treated either the geometric Lévy case or continuous price processes with an orthogonal volatility process. We proceed by linking the entropy measure to a certain semi-linear Integro-PDE for which we prove the existence of a classical solution.