Abstract
Abstract We give a unified characterization of 𝑞-optimal martingale measures for 𝑞 ∈ [0, ∞) in an incomplete market model, where the dynamics of asset prices are described by a continuous semimartingale. According to this characterization the variance-optimal, the minimal entropy and the minimal martingale measures appear as the special cases 𝑞 = 2, 𝑞 = 1 and 𝑞 = 0 respectively. Under assumption that the Reverse Hölder condition is satisfied, the continuity (in 𝐿1 and in entropy) of densities of 𝑞-optimal martingale measures with respect to 𝑞 is proved.
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