The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure

被引：21

作者：

Grandits, P ^{[1
]}

机构：

[1] Univ Vienna, Inst Stat, A-1210 Vienna, Austria

来源：

BERNOULLI | 1999年 / 5卷 / 02期

关键词：

entropy; martingale measures;

D O I：

10.2307/3318433

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove convergence of the p-optimal martingale measures to the minimal-entropy martingale measure for p-->1. This is done for bounded stochastic processes in a discrete-time setting with a finite horizon. We also investigate in detail an example of an unbounded process, where we do not find this convergence.

引用

页码：225 / 247

页数：23

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