The p-optimal martingale measure in continuous trading models

Takuji Arai

Statistics & Probability Letters, 2001, vol. 54, issue 1, 93-99

Abstract: We discuss the p-optimal martingale measure for p[set membership, variant](1,[infinity]) in continuous incomplete markets whose stock price is fluctuated by a d-dimensional continuous semimartingale. In this paper, we treat two simple models. One is a model where the mean-variance trade-off process is deterministic. Another is a model where the minimal martingale measure coincides with the minimal entropy martingale measure. In these models, we prove that the p-optimal martingale measure coincides with the minimal martingale measure under some conditions.

Keywords: Incomplete; market; Equivalent; martingale; measure; p-Optimal; martingale; measure; Minimal; martingale; measure (search for similar items in EconPapers)
Date: 2001
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