May 5, 2007 · This paper proposes an extension of the minimal Hellinger martingale measure (MHM hereafter) concept to any order q≠1 and to the general ...
This paper investigates the relationship between the minimal Hellinger martingale measure of order q (MHM measure hereafter) and the q -optimal martingale ...
Abstract This paper proposes an extension of the minimal Hellinger martingale measure (MHM hereafter) concept to any order q = 1 and to the general ...
This paper shows the existence of the MHM measure of order q and describes it explicitly in terms of pointwise equations in ℝd and proves that, ...
Choulli, T., Stricker, C. and Li, J. (2007) Minimal Hellinger Martingale Measures of Order q. Finance and Stochastics, 11, 399-427.
May 5, 2007 · Abstract This paper proposes an extension of the minimal Hellinger martingale measure (MHM hereafter) concept to any order q = 1 and to the ...
Oct 22, 2024 · This paper proposes an extension of the minimal Hellinger martingale measure (MHM hereafter) concept to any order q≠1 and to the general ...
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This paper proposes an extension of the minimal Hellinger martingale measure (MHM hereafter) concept to any order q ?1 and to the general semimartingale ...
By Tahir Choulli, Christophe Stricker and Jia Li; Minimal Hellinger martingale measures of order q.
ABSTRACT: The objective of this article is to use Jacod decomposition to develop different types of semimartingale structure conditions. We make the following ...