Article citationsMore>>

Schweizer, M., et al. (1996) Approximation Pricing and the Variance-Optimal Martingale Measure. The Annals of Probability, 24, 206-236.
https://doi.org/10.1214/aop/1042644714

has been cited by the following article:

• TITLE: Description of Minimal Entropy Hellinger Sigma Martingale Density of Order One, Order q and Order Zero

  AUTHORS: Winfrida Felix Mwigilwa, Jane Aduda, Ananda Omutokoh Kube

  KEYWORDS: Sigma Martingale Density, Jacod Decomposition, Entropy-Hellinger Process, Compensator, Minimal Entropy-Hellinger Sigma Martingale Density

  JOURNAL NAME: Journal of Mathematical Finance, Vol.11 No.3, August 24, 2021

  ABSTRACT: Generally in this paper, we show how the new version of parameter in Jacod decomposition will change an expression of entropy-Hellinger process of order one, order q and order zero and consequently an equation of minimal entropy Hellinger sigma martingale density for all orders. This is because even the measurable function which is an important parameter of an equation of minimal martingale density changes. In order to get a required parameter , we introduce the function during our calculation for all orders. The result is different to order zero because we failed to get an equation of minimal entropy-Hellinger sigma martingale density of order zero.