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On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure

Marina Santacroce

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Abstract

In an incomplete financial market where asset prices are continuous semimartingales, we establish the convergence of the p-optimal martingale measures to the minimal entropy martingale measure as p tends to 1. The result is achieved exploiting the theory of BMO-martingales and semimartingale backward equations.

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What this paper is about

In an incomplete financial market where asset prices are continuous semimartingales, we establish the convergence of the p-optimal martingale measures to the minimal entropy martingale measure as p tends to 1. The result is achieved exploiting the theory of BMO-martingales and semimartingale backward equations.

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OpenAlex reports 18 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

In an incomplete financial market where asset prices are continuous semimartingales, we establish the convergence of the p-optimal martingale measures to the minimal entropy martingale measure as p tends to 1. The result is achieved exploiting the theory of BMO-martingales and semimartingale backward equations.

Key concepts: Semimartingale, Local martingale, Mathematics, Martingale pricing, Martingale (probability theory), Doob's martingale inequality, Martingale difference sequence, Applied mathematics

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