TRIVELLATO, BARBARA - In: International Journal of Theoretical and Applied … 15 (2012) 05, pp. 1250038-1
-entropy martingale measure. Moreover, we provide characterizations of its density as a κ-exponential function. We show that the minimal κ …-entropy martingale measure is closely related to both the standard entropy martingale measure and the well known q-optimal martingale … measures. We finally establish the convergence of the minimal κ-entropy martingale measure to the minimal entropy martingale …