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.
- Equivalent martingale measure
- Incomplete market
- Minimal martingale measure
- p -Optimal martingale measure
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty