q-Optimal Martingale Measures for Discrete Time Models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
http://link.springer.com/content/pdf/10.1007/s10690-008-9076-y.pdf
Reference11 articles.
1. Arai, T. (2006). $${\mathcal {L}^p}$$ -projections of random variables and its application to finance. Keio Economic Society Discussion Paper Series KESDP 06-2.
2. Arai, T. (2008). $${\mathcal {L}^p}$$ -projections of random variables and its application to finance. to appear in Intern. Journal of Theoretical and Applied Finance
3. Bender C., Niethammer C.R. (2008) On q-optimal martingale measures in exponential Lévy models. Finance and Stochastics 12: 381–410
4. Grandits P. (1999) The p-optimal martingale measure and its asymptotic relation with the minimal entropy martingale measure. Bernoulli. 5: 225–247
5. Grandits P., Krawczyk L. (1998) Closedness of some spaces of stochastic integrals. Séminaire de Probabilités, XXXII. Lecture Notes in Mathamatics 1686: 73–85 Springer
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1. Convex Comparison of Minimal Divergence Martingale Measures in Discrete Time Models;SSRN Electronic Journal;2012
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