On the Existence of Minimax Martingale Measures

DOI10.1111/1467-9965.00001zbMath1014.91031OpenAlexW2052493589MaRDI QIDQ4548067

Publication date: 19 September 2002

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00001

zbMATH Keywords

relative entropy incomplete market duality Martingale measure viability

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Utility theory (91B16) Auctions, bargaining, bidding and selling, and other market models (91B26)

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