کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156055 958797 2009 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure
چکیده انگلیسی

This paper investigates the relationship between the minimal Hellinger martingale measure of order qq (MHM measure hereafter) and the qq-optimal martingale measure for any q≠1q≠1. First, we provide more results for the MHM measure; in particular we establish its complete characterization in two manners. Then we derive two equivalent conditions for both martingale measures to coincide. These conditions are in particular fulfilled in the case of markets driven by Lévy processes. Finally, we analyze the MHM measure as well as its relationship to the qq-optimal martingale measure for the case of a discrete-time market model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 4, April 2009, Pages 1368–1385
نویسندگان
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