Minimal Martingale Measures for Discrete-time Incomplete Financial Markets

被引：0

作者：

Ping Li

机构：

来源：

Acta Mathematicae Applicatae Sinica | 2002年 / 02期

关键词：

Minimal martingale measures; incomplete financial markets;

D O I：

暂无

中图分类号：

O158 [离散数学];

学科分类号：

070104 ;

摘要：

Abstract In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market.Then we concretely work out the minimal martingale messure for a specificdiscrete-time market model in which the assets’returns in different times are independent.

引用

页码：349 / 352

页数：4

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