A UNIFIED CHARACTERIZATION OF q-OPTIMAL AND MINIMAL ENTROPY MARTINGALE MEASURES BY SEMIMARTINGALE BACKWARD EQUATIONS
نویسنده
چکیده
We give a unified characterization of q-optimal martingale measures for q ∈ [0,∞) in an incomplete market model, where the dynamics of asset prices are described by a continuous semimartingale. According to this characterization the variance-optimal, the minimal entropy and the minimal martingale measures appear as the special cases q = 2, q = 1 and q = 0 respectively. Under assumption that the Reverse Hölder condition is satisfied, the continuity (in L and in entropy) of densities of q-optimal martingale measures with respect to q is proved. 2000 Mathematics Subject Classification: 60H30, 91B28, 90C39.
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تاریخ انتشار 2003