On the minimal martingale measure and the möllmer-schweizer decomposition

DOI10.1080/07362999508809418zbMath0837.60042OpenAlexW2040425860WikidataQ126240900 ScholiaQ126240900MaRDI QIDQ4859232

Publication date: 20 May 1996

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999508809418

zbMATH Keywords

relative entropy martingale measure martingale density Föllmer- Schweizer decomposition

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items

Open markets ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ Arbitrage problems with reflected geometric Brownian motion ⋮ A market- and time-consistent extension for the EIOPA risk-margin ⋮ A General Benchmark Model for Stochastic Jump Sizes ⋮ Some results on quadratic hedging with insider trading ⋮ Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates ⋮ BENCHMARKED RISK MINIMIZATION ⋮ The \(p\)-optimal martingale measure in continuous trading models ⋮ Locally risk-minimizing strategies in discrete time incomplete financial markets ⋮ A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE ⋮ SOME REMARKS ON MEAN-VARIANCE HEDGING FOR DISCONTINUOUS ASSET PRICE PROCESSES ⋮ A Discrete-Time Model for Reinvestment Risk in Bond Markets ⋮ Structure condition under initial enlargement of filtration ⋮ A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility ⋮ Informed traders' hedging with news arrivals ⋮ Separation results for multi-product inventory hedging problems ⋮ MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS ⋮ Drift operator in a viable expansion of information flow ⋮ On the structure of general mean-variance hedging strategies ⋮ On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations ⋮ Valuation and hedging of life insurance liabilities with systematic mortality risk ⋮ RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS ⋮ Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application ⋮ An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models ⋮ A law of large numbers approach to valuation in life insurance ⋮ Martingale measures in the market with restricted information ⋮ Unit-linked life insurance policies: optimal hedging in partially observable market models ⋮ Application of Moore-Penrose inverse in deciding the minimal martingale measure ⋮ Pricing participating policies under the Meixner process and stochastic volatility ⋮ Approximation pricing and the variance-optimal martingale measure ⋮ Mean-variance hedging with oil futures ⋮ Endogenous current coupons ⋮ Indifference valuation in incomplete binomial models ⋮ Mean-variance hedging via stochastic control and BSDEs for general semimartingales ⋮ The existence of dominating local martingale measures ⋮ Pricing and hedging Asian-style options on energy ⋮ The opportunity process for optimal consumption and investment with power utility ⋮ No arbitrage in continuous financial markets ⋮ SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS ⋮ Pricing European options with stochastic volatility under the minimal entropy martingale measure ⋮ On pricing and hedging in financial markets with long-range dependence ⋮ Robustness of quadratic hedging strategies in finance via Fourier transforms ⋮ Discrete-time local risk minimization of payment processes and applications to equity-linked life-insurance contracts ⋮ The Bellman equation for power utility maximization with semimartingales ⋮ Risk aversion asymptotics for power utility maximization ⋮ Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives ⋮ Minimal martingale measure: pricing and hedging in a pure jump model under restricted information ⋮ Time-consistent mean-variance portfolio selection in discrete and continuous time ⋮ Reviewing alternative characterizations of Meixner process ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ Optimal martingale measures for defaultable assets ⋮ On transformations of actuarial valuation principles. ⋮ Dynamic programming principle and computable prices in financial market models with transaction costs ⋮ ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS ⋮ Local risk-minimization for defaultable claims with recovery process ⋮ Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield ⋮ Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension ⋮ On arbitrages arising with honest times ⋮ Structure Conditions under Progressively Added Information ⋮ A minimality property of the minimal martingale measure ⋮ Hedging the Risk of Delayed Data in Defaultable Markets ⋮ The structure of optimal consumption streams in general incomplete markets ⋮ Pricing and managing risks of European-style options in a Markovian regime-switching binomial model ⋮ Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process ⋮ Local risk-minimization under the benchmark approach ⋮ A revised option pricing formula with the underlying being banned from short selling ⋮ Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices ⋮ Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth ⋮ On convergence to the exponential utility problem ⋮ Stability of utility-maximization in incomplete markets ⋮ A note on convergence of option prices and their Greeks for Lévy models ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS ⋮ Minimal \(f^q\)-Martingale measures for exponential Lévy processes ⋮ On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process ⋮ Option pricing for time-change exponential Lévy model under MEMM ⋮ Quadratic hedging methods for defaultable claims ⋮ Market viability via absence of arbitrage of the first kind ⋮ Time-consistent asymptotic exponential arbitrage with small probable maximum loss ⋮ Analytical pricing of vulnerable options under a generalized jump-diffusion model ⋮ Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization ⋮ Pricing rules under asymmetric information ⋮ The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints ⋮ Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach ⋮ Change of filtrations and mean–variance hedging ⋮ Characterization of arbitrage-free markets ⋮ The Mean-Variance Hedging of a Defaultable Option with Partial Information ⋮ The Föllmer-Schweizer decomposition: comparison and description ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences ⋮ Nonlinear stochastic integrals for hyperfinite Lévy processes ⋮ Minimal Hellinger martingale measures of order \(q\) ⋮ BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets ⋮ Information on jump sizes and hedging ⋮ Additional logarithmic utility of an insider ⋮ Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure ⋮ Mean-variance hedging for discontinuous semimartingales. ⋮ CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES ⋮ A general class of distortion operators for pricing contingent claims with applications to CAT bonds ⋮ Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts ⋮ A continuous-time model for reinvestment risk in bond markets ⋮ LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ Some properties of the variance-optimal martingale measure for discontinuous semimartingales ⋮ Minimal martingale measure on a finite probability space ⋮ Value preserving portfolio strategies and the minimal martingale measure ⋮ No Arbitrage and the Growth Optimal Portfolio ⋮ On the diversity of equity markets ⋮ A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability ⋮ Stochastic integrals and two filtrations ⋮ Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models ⋮ Variance optimal hedging for continuous time additive processes and applications ⋮ Catastrophe risk bonds with applications to earthquakes

Cites Work

This page was built for publication: On the minimal martingale measure and the möllmer-schweizer decomposition