q-optimal martingale measures for discrete time models

DOI10.1007/S10690-008-9076-YzbMATH Open1170.91502OpenAlexW2073906317MaRDI QIDQ842819FDOQ842819

Authors: Takuji Arai, Muneki Kawaguchi 

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

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zbMATH Keywords

incomplete marketmartingale measure\(q\)-optimal martingale measure

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Title not available (Why is that?)
• Approximation pricing and the variance-optimal martingale measure
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• Title not available (Why is that?)
• On the minimal entropy martingale measure.
• Variance-Optimal Hedging in Discrete Time
• On \(q\)-optimal martingale measures in exponential Lévy models
• $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE

Cited In (2)

• On \(q\)-optimal martingale measures in exponential Lévy models
• A class of stochastic volatility models and theq-optimal martingale measure

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