The relations between minimal martingale measure and minimal entropy martingale measure

DOI10.1023/A:1011984313198zbMath1062.91028OpenAlexW184134608MaRDI QIDQ1415432

Takuji Arai

Publication date: 4 December 2003

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1011984313198

zbMATH Keywords

incomplete marketspredictable representation property

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Auctions, bargaining, bidding and selling, and other market models (91B26)

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