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.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
