The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
Grandits, Peter
Bernoulli, Tome 5 (1999) no. 6, p. 225-247 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
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.
Publié le : 1999-04-14
Classification:  entropy,  martingale measures 
@article{1173147904,
     author = {Grandits, Peter},
     title = {The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure},
     journal = {Bernoulli},
     volume = {5},
     number = {6},
     year = {1999},
     pages = { 225-247},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1173147904}
}

Grandits, Peter. The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure. Bernoulli, Tome 5 (1999) no. 6, pp.  225-247. http://gdmltest.u-ga.fr/item/1173147904/