The minimal entropy martingale measure for general   Barndorff-Nielsen/Shephard models
  We determine the minimal entropy martingale measure for a general class of stochastic volatility models where both price process and volatility process contain jump terms which are correlated. This generalizes previous studies which have treated either the geometric L\'{e}vy 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. 
Thorsten Rheinl\"ander, Gallus Steiger