The relations between Minimal Martingale Measure and Minimal Entropy Martingale Measure

研究成果: Article査読

3 被引用数 (Scopus)

抄録

We consider incomplete markets, where each risky asset fluctuation is a continuous semimartingale, and study a subset of Equivalent Local Martingale Measures in which Minimal Martingale Measure minimizes relative entropy. We also discuss, as special cases, some models with the risky asset fluctuation represented as a solution of some stochastic differential equations. Finally, we mention that the predictable representation property is essential in order that Minimal Martingale Measure coincides with Minimal Entropy Martingale Measure.

本文言語English
ページ(範囲)167-177
ページ数11
ジャーナルAsia-Pacific Financial Markets
8
2
DOI
出版ステータスPublished - 2001

ASJC Scopus subject areas

  • 財務

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