Minimal martingale measures for discrete-time incomplete financial markets
type: Item
instance of: scholarly article
title: Minimal martingale measures for discrete-time incomplete financial markets
zbMATH Open document ID: 1013.60024
author: Ping Li
author: Jianming Xia
published in: Acta Mathematicae Applicatae Sinica. English Series
publication date: 2003-06-18T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60G42
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1885879
zbMATH Keywords: minimal martingale measures
zbMATH Keywords: incomplete financial markets
reviewed by: Yuliya S. Mishura
MaRDI profile type: Publication
full work available at URL: s102550200035
OpenAlex ID: W2094018777
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DOI: 10.1007/S102550200035
description: scientific article; zbMATH DE number 1885879