A minimality property of the minimal martingale measure

DOI10.1016/S0167-7152(98)00180-1zbMath0984.60049OpenAlexW2045697620WikidataQ127942794 ScholiaQ127942794MaRDI QIDQ1962144

Martin Schweizer

Publication date: 14 May 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00180-1

zbMATH Keywords

relative entropyminimal martingale measureequivalent martingale measures

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

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• Variance-Optimal Hedging in Discrete Time
• On the minimal martingale measure and the möllmer-schweizer decomposition

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