Stochastic Analysis and Applications · 2005 · 19 citations · 20 references
BusinessEconomicsFinanceAsset PricingFinancial MarketsStochastic ProcessesAsset Pricing TheoryEntropyMarkov ProcessesWeak ConvergenceBackward Stochastic Differential EquationsIncomplete Markets Asset PricingIncomplete Markets ModelsMartingale ConvergenceMartingale TheoryMartingalesSemimartingale ModelsSemimartingales
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.
20
Backward Stochastic Differential Equations in Finance
Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations
Engineering, Economics, Finance +10