TY - JOUR
T1 - Q-optimal martingale measures for discrete time models
AU - Arai, Takuji
AU - Kawaguchi, Muneki
N1 - Copyright:
Copyright 2009 Elsevier B.V., All rights reserved.
PY - 2008/12
Y1 - 2008/12
N2 - We focus on a backward induction of the q-optimal martingale measure for discrete-time models, where 1 < q < ∞. As for the bounded asset price process case, the same backward induction has been obtained by Grandits (Bernoulli, 5:225-247, 1999). To remove the boundedness, we shall discuss a sufficient condition under which there exists a signed martingale measure whose density is in the Lq -space, which topic is our second aim.
AB - We focus on a backward induction of the q-optimal martingale measure for discrete-time models, where 1 < q < ∞. As for the bounded asset price process case, the same backward induction has been obtained by Grandits (Bernoulli, 5:225-247, 1999). To remove the boundedness, we shall discuss a sufficient condition under which there exists a signed martingale measure whose density is in the Lq -space, which topic is our second aim.
KW - Incomplete market
KW - Martingale measure
KW - Q-optimal martingale measure
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U2 - 10.1007/s10690-008-9076-y
DO - 10.1007/s10690-008-9076-y
M3 - Article
AN - SCOPUS:62349103574
SN - 1387-2834
VL - 15
SP - 155
EP - 173
JO - Asia-Pacific Financial Markets
JF - Asia-Pacific Financial Markets
IS - 3-4
ER -