The Bellman Equation Related to the Minimal Entropy Martingale Measure
نویسندگان
چکیده
منابع مشابه
The Minimal Entropy Martingale Measure and Hedging in Incomplete Markets
The intent of these essays is to study the minimal entropy martingale measure, to examine some new martingale representation theorems and to discuss its related Kunita-Watanabe decompositions. Such problems arise in mathematical finance for an investor who is confronted with the issues of pricing and hedging in incomplete markets. We adopt the standpoint of a ra tional investor who principally...
متن کاملRisk measurement and Implied volatility under Minimal Entropy Martingale Measure for Levy process
This paper focuses on two main issues that are based on two important concepts: exponential Levy process and minimal entropy martingale measure. First, we intend to obtain risk measurement such as value-at-risk (VaR) and conditional value-at-risk (CvaR) using Monte-Carlo methodunder minimal entropy martingale measure (MEMM) for exponential Levy process. This Martingale measure is used for the...
متن کاملThe minimal entropy martingale measure in a market of traded financial and actuarial risks
In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely determined. A possible approach when it comes to choosing a particular pricing measure is to consider the one that is closestto the physical probability measure P, where closeness is measured in terms of relative entropy. In this paper, we determine the minimal entropy marti...
متن کاملA Minimality Property of the Minimal Martingale Measure
Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P̂ is the unique ELMM for X with the property that local P -martingales strongly orthogonal to the P -martingale part of X are also local P̂ -martingales. We prove that if P̂ exists, it minimizes the reverse relative entropy H(P |Q) over all ELMMs Q for X. A co...
متن کاملShot-Noise Processes and the Minimal Martingale Measure
This article proposes a model for stock prices which incorporates shot-noise effects. This means, that sudden jumps in the stock price are allowed, but their effect may decline as time passes by. Our model is general enough to capture arbitrary effects of this type. Generalizing previous approaches to shot-noise we in particular allow the decay to be stochastic. This model describes an incomple...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: gmj
سال: 2004
ISSN: 1572-9176,1072-947X
DOI: 10.1515/gmj.2004.125