Minimal martingale measures for discrete-time incomplete financial markets

DOI10.1007/S102550200035zbMath1013.60024OpenAlexW2094018777MaRDI QIDQ1862954

Ping Li, Jian-ming Xia

Publication date: 18 June 2003

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s102550200035

zbMATH Keywords

minimal martingale measuresincomplete financial markets

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (3)

Indifference valuation in incomplete binomial models ⋮ On an aggregate state-price deflator in a multi-period market model ⋮ Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing

Cites Work

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• Pricing contingent claims on stocks driven by Lévy processes
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• Locally risk-minimizing strategies in discrete time incomplete financial markets

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