Bernoulli

  • Bernoulli
  • Volume 5, Number 2 (1999), 225-247.

The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure

Peter Grandits

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Abstract

We prove convergence of the p-optimal martingale measures to the minimal-entropy martingale measure for p →1. This is done for bounded stochastic processes in a discrete-time setting with a finite horizon. We also investigate in detail an example of an unbounded process, where we do not find this convergence.

Article information

Source
Bernoulli, Volume 5, Number 2 (1999), 225-247.

Dates
First available in Project Euclid: 5 March 2007

Permanent link to this document
https://projecteuclid.org/euclid.bj/1173147904

Mathematical Reviews number (MathSciNet)
MR1681696

Zentralblatt MATH identifier
0923.60045

Keywords
entropy martingale measures

Citation

Grandits, Peter. The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure. Bernoulli 5 (1999), no. 2, 225--247. https://projecteuclid.org/euclid.bj/1173147904


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