Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure

Tahir Choulli and Christophe Stricker

Stochastic Processes and their Applications, 2009, vol. 119, issue 4, 1368-1385

Abstract: This paper investigates the relationship between the minimal Hellinger martingale measure of order q (MHM measure hereafter) and the q-optimal martingale measure for any q[not equal to]1. First, we provide more results for the MHM measure; in particular we establish its complete characterization in two manners. Then we derive two equivalent conditions for both martingale measures to coincide. These conditions are in particular fulfilled in the case of markets driven by Lévy processes. Finally, we analyze the MHM measure as well as its relationship to the q-optimal martingale measure for the case of a discrete-time market model.

Keywords: Minimal; Hellinger; martingale; measure; q-optimal; martingale; measure; Incomplete; market; Utility; maximization (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(08)00110-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:119:y:2009:i:4:p:1368-1385

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().