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q-Optimal Martingale Measures for Discrete Time Models

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  • Takuji Arai
  • Muneki Kawaguchi

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  • Takuji Arai & Muneki Kawaguchi, 2008. "q-Optimal Martingale Measures for Discrete Time Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 155-173, December.
    • Handle: RePEc:kap:apfinm:v:15:y:2008:i:3:p:155-173
    DOI: 10.1007/s10690-008-9076-y
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    References listed on IDEAS

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    1. Martin Schweizer, 1995. "Variance-Optimal Hedging in Discrete Time," Mathematics of Operations Research, INFORMS, vol. 20(1), pages 1-32, February.
    2. Takuji Arai, 2008. "$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 869-888.
    3. Christian Bender & Christina Niethammer, 2008. "On q-optimal martingale measures in exponential Lévy models," Finance and Stochastics, Springer, vol. 12(3), pages 381-410, July.
    Full references (including those not matched with items on IDEAS)

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