Archivio Istituzionale della RicercaIn 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.
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