Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

q-Optimal Martingale Measures for Discrete Time Models

q-Optimal Martingale Measures for Discrete Time Models We focus on a backward induction of the q-optimal martingale measure for discrete-time models, where 1  <  q  <  ∞. As for the bounded asset price process case, the same backward induction has been obtained by Grandits (Bernoulli, 5:225–247, 1999). To remove the boundedness, we shall discuss a sufficient condition under which there exists a signed martingale measure whose density is in the $${\mathcal {L}^q}$$ -space, which topic is our second aim. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Asia-Pacific Financial Markets Springer Journals

q-Optimal Martingale Measures for Discrete Time Models

Download PDF
19 pages

Loading next page...
 
/lp/springer-journals/q-optimal-martingale-measures-for-discrete-time-models-qpIq8SNR4G
Publisher
Springer Journals
Copyright
Copyright © 2008 by Springer Science+Business Media, LLC.
Subject
Finance; Finance, general; Macroeconomics/Monetary Economics//Financial Economics; International Economics; Econometrics; Economic Theory/Quantitative Economics/Mathematical Methods
ISSN
1387-2834
eISSN
1573-6946
DOI
10.1007/s10690-008-9076-y
Publisher site
See Article on Publisher Site

Abstract

We focus on a backward induction of the q-optimal martingale measure for discrete-time models, where 1  <  q  <  ∞. As for the bounded asset price process case, the same backward induction has been obtained by Grandits (Bernoulli, 5:225–247, 1999). To remove the boundedness, we shall discuss a sufficient condition under which there exists a signed martingale measure whose density is in the $${\mathcal {L}^q}$$ -space, which topic is our second aim.

Journal

Asia-Pacific Financial Markets – Springer Journals

Published: Nov 21, 2008

References

  • On q-optimal martingale measures in exponential Lévy models
    Bender, C.; Niethammer, C.R.
  • The p-optimal martingale measure and its asymptotic relation with the minimal entropy martingale measure
    Grandits, P.
  • Closedness of some spaces of stochastic integrals
    Grandits, P.; Krawczyk, L.
  • On the minimal entropy martingale measure
    Grandits, P.; Rheinländer, T.
  • Stochastic volatility models, correlation, and the q-optimal measure
    Hobson, D.
  • Optimization by vector space methods
    Luenberger, D.
  • Variance-optimal hedging in discrete time
    Schweizer, M.
  • Approximation pricing and the variance-optimal martingale measure
    Schweizer, M.