Advanced search
Publication Cover
Stochastic Analysis and Applications Volume 13, 1995 - Issue 5
Submit an article Journal homepage
151
Views
197
CrossRef citations to date
0
Altmetric
Original Articles

On the minimal martingale measure and the möllmer-schweizer decomposition

Martin Schweizer Univexsiät Göttitigen, Institut für Mathematische Stochastik, Lotzestrasze, Göttingen, D-37083, Germany
Pages 573-599 | Published online: 03 Apr 2007
 
Sample our Mathematics & Statistics journals, sign in here to start your FREE access for 14 days

Abstract

We provide three characterizations of the minimal martingale measure[Pcirc] associated to a given d-dimensional semimartingale X. In each case, [Pcirc] is shown to be the unique solution of an optimization problem where one minimizes a certain functional over a suitable class of signed local martingale measures for X. Furthermore, we extend a result of Ansel and Stricker on the Föllmer-Schweizer decomposition to the case where X is continuous, but multidimensional.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related Research Data

Variance minimizing strategies for stochastic processes with applications to tracking stock indices
Source: Wiley
Sur l'intégrabilité uniforme des martingales exponentielles
Source: Springer Science and Business Media LLC
A new closed-form formula for pricing European options under a skew Brownian motion
Source: Informa UK Limited
Option Pricing Under Incompleteness and Stochastic Volatility
Source: Weierstrass Institute
On arbitrages arising from honest times
Source: HAL CCSD
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
Source: WORLD SCIENTIFIC
Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application
Source: Taylor & Francis (Routledge): SSH Titles
Pricing European options with stochastic volatility under the minimal entropy martingale measure
Source: Cambridge University Press (CUP)
Actuarial versus Financial Pricing of Insurance
Source: Emerald
Martingale densities for general asset prices
Source: Elsevier BV
Calcul stochastique et problèmes de martingales
Source: Springer Berlin Heidelberg
Locally Risk-Minimizing Hedging of Counterparty Risk for Portfolio of Credit Derivatives
Source: Springer Science and Business Media LLC
ASYMMETRICAL INFORMATION AND INCOMPLETE MARKETS
Source: World Scientific Pub Co Pte Lt
Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
Source: Springer Berlin Heidelberg
The Strong Ergodic Theorem for Densities: Generalized Shannon-McMillan-Breiman Theorem
Source: The Institute of Mathematical Statistics
Utility-Based Derivative Pricing in Incomplete Markets
Source: Springer Berlin Heidelberg
Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth
Source: Springer Science and Business Media LLC

Linking provided by 

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.