The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure

DOI10.2307/3318433zbMath0923.60045OpenAlexW2021721819MaRDI QIDQ1290373

Peter Grandits

Publication date: 17 October 1999

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3318433

zbMATH Keywords

convergencerelative entropymartingale measures

Mathematics Subject Classification ID

Related Items (13)

Maxentropic construction of risk neutral measures: discrete market models ⋮ Deformed exponentials and applications to finance ⋮ Applications of entropy in finance: a review ⋮ On Asian option pricing for NIG Lévy processes ⋮ THE MINIMAL κ-ENTROPY MARTINGALE MEASURE ⋮ \(q\)-optimal martingale measures for discrete time models ⋮ On transformations of actuarial valuation principles. ⋮ Exponential stock models driven by tempered stable processes ⋮ GARCH option pricing: A semiparametric approach ⋮ On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure ⋮ The \(p\)-optimal martingale measure in continuous trading models ⋮ On \(q\)-optimal martingale measures in exponential Lévy models ⋮ Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure

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