Minimal martingale measures for discrete-time incomplete financial markets
The purpose of this paper is to characterize the minimal martingale measure in the case where the assets' returns in different times are independent. The characterization is given in terms of predictable representation of the ratio \(\Delta Z_n/Z_{n-1}\), where \(Z_n\) is, in turn, likelihood ratio. It is also proved that the minimal martingale measure is unique. Concrete results for a specified model are also given as an example.
scientific article; zbMATH DE number 1885879