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On the Existence of Minimax Martingale Measures




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  • Fabio Bellini & Marco Frittelli, 2002. "On the Existence of Minimax Martingale Measures," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 1-21.
  • Handle: RePEc:bla:mathfi:v:12:y:2002:i:1:p:1-21

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    Cited by:

    1. Grzegorz Hara'nczyk & Wojciech S{l}omczy'nski & Tomasz Zastawniak, 2007. "Relative and Discrete Utility Maximising Entropy," Papers 0709.1281,
    2. Guo, Ivan & Zhu, Song-Ping, 2017. "Equal risk pricing under convex trading constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 136-151.
    3. Gu, Lingqi & Lin, Yiqing & Yang, Junjian, 2016. "On the dual problem of utility maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1019-1035.
    4. Badics, Tamás, 2011. "Az arbitrázs preferenciákkal történő karakterizációjáról
      [On the characterization of arbitrage in terms of preferences]
      ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 727-742.
    5. Choulli, Tahir & Stricker, Christophe, 2009. "Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1368-1385, April.
    6. Michael Mania & Revaz Tevzadze, 2016. "On regularity of primal and dual dynamic value functions related to investment problem," Papers 1604.00525,
    7. Acciaio Beatrice, 2005. "Absolutely continuous optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(2/2005), pages 81-100, February.
    8. Hubalek, Friedrich & Sgarra, Carlo, 2009. "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2137-2157, July.
    9. Friedrich Hubalek & Carlo Sgarra, 2008. "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps," Papers 0807.1227,
    10. Y, Ivanenko. & B, Munier., 2012. "Price as a choice under nonstochastic randomness in finance," Working papers 381, Banque de France.
    11. Klöppel Susanne & Schweizer Martin, 2007. "Dynamic utility-based good deal bounds," Statistics & Risk Modeling, De Gruyter, vol. 25(4/2007), pages 1-25, October.
    12. Cl'ement M'enass'e & Peter Tankov, 2015. "Asymptotic indifference pricing in exponential L\'evy models," Papers 1502.03359,, revised Feb 2015.
    13. Hurd T. R., 2004. "A note on log-optimal portfolios in exponential Lévy markets," Statistics & Risk Modeling, De Gruyter, vol. 22(3/2004), pages 225-233, March.

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