Limin Liu
Abstract
This paper deals with the martingale measures' characteristic in a Trinomial tree model.The explicit expressions of some special equivalent martingale measure are given,such as the minimal entropy martingale measure,the minimal reverse relative entropy martingale measure,the variance-optimal martingale measure and the minimal martingale measure.
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This paper deals with the martingale measures' characteristic in a Trinomial tree model.The explicit expressions of some special equivalent martingale measure are given,such as the minimal entropy martingale measure,the minimal reverse relative entropy martingale measure,the variance-optimal martingale measure and the minimal martingale measure.
Key concepts: Martingale (probability theory), Doob's martingale inequality, Mathematics, Local martingale, Martingale pricing, Martingale difference sequence, Trinomial, Applied mathematics