In an incomplete financial market where asset prices are continuous semimartingales, we establish the convergence of the p-optimal martingale measures to the minimal entropy martingale measure as p tends to 1. The result is achieved exploiting the theory of BMO-martingales and semimartingale backward equations.
On the convergence of the p-optimal martingale measure to the minimal entropy martingale measure / Santacroce, Marina. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - 23, no. 1:(2005), pp. 31-54. [10.1081/SAP-200044427]
On the convergence of the p-optimal martingale measure to the minimal entropy martingale measure
SANTACROCE, MARINA
2005
Abstract
In an incomplete financial market where asset prices are continuous semimartingales, we establish the convergence of the p-optimal martingale measures to the minimal entropy martingale measure as p tends to 1. The result is achieved exploiting the theory of BMO-martingales and semimartingale backward equations.File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/11583/1867711
Attenzione
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo