Abstract
We focus on a backward induction of the q-optimal martingale measure for discrete-time models, where 1 < q < ∞. As for the bounded asset price process case, the same backward induction has been obtained by Grandits (Bernoulli, 5:225–247, 1999). To remove the boundedness, we shall discuss a sufficient condition under which there exists a signed martingale measure whose density is in the \({\mathcal {L}^q}\) -space, which topic is our second aim.
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Arai, T., Kawaguchi, M. q-Optimal Martingale Measures for Discrete Time Models. Asia-Pac Financ Markets 15, 155–173 (2008). https://doi.org/10.1007/s10690-008-9076-y
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DOI: https://doi.org/10.1007/s10690-008-9076-y