6533b861fe1ef96bd12c432a

RESEARCH PRODUCT

Value preserving portfolio strategies and the minimal martingale measure

Ralf Korn

subject

Actuarial scienceGeneral MathematicsFinancial marketManagement Science and Operations ResearchDoob's martingale inequalityIncomplete marketsLocal martingaleEconometricsPortfolioMartingale difference sequenceMartingale (probability theory)SoftwareMartingale pricingMathematics

description

We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical.

yearjournalcountryeditionlanguage
1998-06-01Mathematical Methods of Operations Research
https://doi.org/10.1007/bf01194396