Abstract
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.
Citation
Peter Grandits. "The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure." Bernoulli 5 (2) 225 - 247, april 1999.
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