Minimal martingale measure on a finite probability space

DOI10.1090/S0094-9000-2012-00852-1zbMath1273.91195MaRDI QIDQ2849242

Vadym Doroshenko

Publication date: 17 September 2013

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

minimal martingale measurefinancial market with discrete time

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic models in economics (91B70)

Related Items (1)

On an aggregate state-price deflator in a multi-period market model

Cites Work

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• Local risk minimization and numéraire
• MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
• Stochastic finance. An introduction in discrete time

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