\(q\)-optimal martingale measures for discrete time models
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Publication:842819
DOI10.1007/s10690-008-9076-yzbMath1170.91502OpenAlexW2073906317MaRDI QIDQ842819
Publication date: 25 September 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-008-9076-y
Cites Work
- On \(q\)-optimal martingale measures in exponential Lévy models
- The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
- On the minimal entropy martingale measure.
- Approximation pricing and the variance-optimal martingale measure
- $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- Variance-Optimal Hedging in Discrete Time
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