On the minimal entropy martingale measure
成果类型：
Article
署名作者：
Grandits, P; Rheinländer, T
署名单位：
University of Cambridge; Swiss Federal Institutes of Technology Domain; ETH Zurich
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
发表日期：
2002
页码：
1003-1038
关键词：
摘要：
Let X be a locally bounded semimartingale. Using the theory of BMO-martingales we give a sufficient criterion for a martingale measure for X to minimize relative entropy among all martingale measures. This is applied to prove convergence of the q-optimal martingale measure to the minimal entropy martingale measure in entropy for q down arrow 1 under the assumption that X is continuous and that the density process of some equivalent martingale measure satisfies a reverse LLogL-inequality.