The p-optimal martingale measure in continuous trading models

✍ Scribed by Takuji Arai

• Publisher: Elsevier Science
• Year: 2001
• Tongue: English
• Weight: 96 KB
• Volume: 54
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(01)00081-5

✦ Synopsis

We discuss the p-optimal martingale measure for p ∈ (1; ∞) in continuous incomplete markets whose stock price is uctuated by a d-dimensional continuous semimartingale. In this paper, we treat two simple models. One is a model where the mean-variance trade-o process is deterministic. Another is a model where the minimal martingale measure coincides with the minimal entropy martingale measure. In these models, we prove that the p-optimal martingale measure coincides with the minimal martingale measure under some conditions.