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Author Sabanis, Sotirios
Source arXiv.org
Content type Text
File Format PDF
Date of Submission 2008-08-27
Language English
Subject Domain (in DDC) Natural sciences & mathematics ♦ Mathematics
Subject Keyword Mathematics - Probability ♦ math
Abstract This paper presents the general form and essential properties of the q-optimal measure following the approach of Delbaen and Schachermayer (1996) and proves its existence under mild conditions. Most importantly, it states a necessary and sufficient condition for a candidate measure to be the q-optimal measure in the case even of signed measures. Finally, an updated characterization of the q-optimal measure for continuous asset price processes is presented in the light of the counterexample appearing in Cerny and Kallsen (2006) concerning Hobson's (2004) approach.
Educational Use Research
Learning Resource Type Article


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