Q-optimal martingale measures for discrete time models

Takuji Arai, Muneki Kawaguchi

研究成果: Article査読

抄録

We focus on a backward induction of the q-optimal martingale measure for discrete-time models, where 1 < q < ∞. As for the bounded asset price process case, the same backward induction has been obtained by Grandits (Bernoulli, 5:225-247, 1999). To remove the boundedness, we shall discuss a sufficient condition under which there exists a signed martingale measure whose density is in the Lq -space, which topic is our second aim.

本文言語English
ページ(範囲)155-173
ページ数19
ジャーナルAsia-Pacific Financial Markets
15
3-4
DOI
出版ステータスPublished - 2008 12月

ASJC Scopus subject areas

  • 財務

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