On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure

DOI10.1081/SAP-200044427zbMATH Open1108.91045OpenAlexW2335487262MaRDI QIDQ4678744FDOQ4678744

Authors: Marina Santacroce 

Publication date: 23 May 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-200044427

Recommendations

• The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
• The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• On the minimal entropy martingale measure for Lévy processes
• The relations between minimal martingale measure and minimal entropy martingale measure
• Minimization with respect to entropy in the problem of finding a martingale measure
• On the minimal entropy martingale measure.
• The minimal \(\kappa \)-entropy martingale measure
• On the Existence of Minimax Martingale Measures

zbMATH Keywords

minimal entropy martingale measurecontingent claim pricingincomplete financial marketssemimartingale backward equation\(p\)-optimal martingale measure

Mathematics Subject Classification ID

Dynamic programming (90C39) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Backward Stochastic Differential Equations in Finance
• Adapted solution of a backward stochastic differential equation
• I-divergence geometry of probability distributions and minimization problems
• Continuous exponential martingales and BMO
• Title not available (Why is that?)
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Calcul stochastique et problèmes de martingales
• Approximation pricing and the variance-optimal martingale measure
• Mean-variance hedging and numéraire
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• On the minimal entropy martingale measure.
• Exponential Hedging and Entropic Penalties
• On the Existence of Minimax Martingale Measures
• Mean-variance hedging for continuous processes: New proofs and examples
• The variance-optimal martingale measure for continuous processes
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
• A semimartingale BSDE related to the minimal entropy martingale measure
• On the variation distance for probability measures defined on a filtered space

Cited In (20)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Deformed exponentials and applications to finance
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes
• The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
• Derivatives pricing viap-optimal martingale measures: some extreme cases
• Risk aversion asymptotics for power utility maximization
• The \(p\)-optimal martingale measure in continuous trading models
• Robust consumption-investment problems with random market coefficients
• The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• Exponential stock models driven by tempered stable processes
• The minimal \(\kappa \)-entropy martingale measure
• The \(p\)-optimal martingale measure when there exist inaccessible jumps
• On the minimal entropy martingale measure.
• A martingale bound for the entropy associated with a trimmed filtration on \(\mathbb{R}^d\)
• Minimization with respect to entropy in the problem of finding a martingale measure
• On convergence to the exponential utility problem
• Power utility maximization under partial information: some convergence results
• Stability of the exponential utility maximization problem with respect to preferences

This page was built for publication: On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4678744)