The \(p\)-optimal martingale measure in continuous trading models (Q5950019)
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scientific article; zbMATH DE number 1679425
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The \(p\)-optimal martingale measure in continuous trading models |
scientific article; zbMATH DE number 1679425 |
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The \(p\)-optimal martingale measure in continuous trading models (English)
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10 July 2002
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Continuous incomplete markets, whose stock price fluctuation is given by a continuous semimartingale, are considered. The notion of the \(p\)-optimal martingale measure \((p\)-MM) is analysed. Conditions are found, under which the \(p\)-MM coincides with the minimal martingale measure introduced earlier by Föllmer and Schweizer.
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continuous semimartingale
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minimal martingale measures
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