Search Results - subject:"structure condition"

M6 - On Minimal Market Models and Minimal Martingale Measures

Hulley, Hardy; Schweizer, Martin - Finance Discipline Group, Business School - 2010

existence of a growth-optimal portfolio, existence of the numeraire portfolio, and for continuous asset prices the structure … condition (SC). As a consequence, the minimal market model of E. Platen is seen to be directly linked to the minimal martingale …

Persistent link: https://www.econbiz.de/10008455629

On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition

Schweizer, Martin - University of Bonn, Germany - 1994

We provide three characterizations of the minimal martingale measure P associated to a given d- dimensional semimartingale X. In each case, P is shown to be the unique solution of an optimization problem where one minimizes a certain functional over a suitable class of signed local martingale...

Persistent link: https://www.econbiz.de/10004968216