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The Relations between Minimal Martingale Measure and Minimal Entropy Martingale Measure

โœ Scribed by Takuji Arai


Book ID
110308334
Publisher
Springer
Year
2001
Tongue
English
Weight
96 KB
Volume
8
Category
Article
ISSN
1573-6946

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๐Ÿ“œ SIMILAR VOLUMES


A minimality property of the minimal mar
โœ Martin Schweizer ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 82 KB

Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale part of X are also local P-martingales. We prove th