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

DOI10.1081/SAP-200044427MaRDI QIDQ4678744zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

\(p\)-optimal martingale measurecontingent claim pricingincomplete financial marketsminimal entropy martingale measuresemimartingale backward equation

Mathematics Subject Classification ID

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

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Cites work

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• Backward Stochastic Differential Equations in Finance
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• Continuous exponential martingales and BMO
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Exponential Hedging and Entropic Penalties
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• I-divergence geometry of probability distributions and minimization problems
• Mean-variance hedging and numéraire
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• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
• On the Existence of Minimax Martingale Measures
• On the minimal entropy martingale measure.
• On the variation distance for probability measures defined on a filtered space
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• The variance-optimal martingale measure for continuous processes

Cited in

(21)

• The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• On the minimal entropy martingale measure.
• Robust consumption-investment problems with random market coefficients
• Risk aversion asymptotics for power utility maximization
• Exponential stock models driven by tempered stable processes
• On convergence to the exponential utility problem
• Power utility maximization under partial information: some convergence results
• Minimization with respect to entropy in the problem of finding a martingale measure
• Deformed exponentials and applications to finance
• Stability of the exponential utility maximization problem with respect to preferences
• scientific article; zbMATH DE number 2127977 (Why is no real title available?)
• The minimal -entropy martingale measure
• A martingale bound for the entropy associated with a trimmed filtration on \(\mathbb{R}^d\)
• The Minimal Entropy and the Convergence of thep-Optimal Martingale Measures in a General Jump Model
• scientific article; zbMATH DE number 2015867 (Why is no real title available?)
• scientific article; zbMATH DE number 2062295 (Why is no real title available?)
• Incomplete markets: convergence of options values under the minimal martingale measure
• The p-optimal martingale measure when there exist inaccessible jumps
• Derivatives pricing viap-optimal martingale measures: some extreme cases
• The p-optimal martingale measure in continuous trading models
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes

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