The p -optimal martingale measure in continuous trading models

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Abstract

We discuss the p-optimal martingale measure for p∈(1,∞) in continuous incomplete markets whose stock price is fluctuated by a d-dimensional continuous semimartingale. In this paper, we treat two simple models. One is a model where the mean-variance trade-off process is deterministic. Another is a model where the minimal martingale measure coincides with the minimal entropy martingale measure. In these models, we prove that the p-optimal martingale measure coincides with the minimal martingale measure under some conditions.

Original languageEnglish
Pages (from-to)93-99
Number of pages7
JournalStatistics and Probability Letters
Volume54
Issue number1
DOIs
Publication statusPublished - 2001 Aug 1

Keywords

  • Equivalent martingale measure
  • Incomplete market
  • Minimal martingale measure
  • p -Optimal martingale measure

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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