Equivalent martingale measures and optimal market completions
نویسندگان
چکیده
Optimal fictitious completions of an incomplete financial market are shown to be associated with exponential martingales (not just local martingales) and, therefore, to "an optimal equivalent martingale measure'. Results of independent interest, in the theory of continuous-time martingales, are derived as well. iirshurgb, PA 15213-3890
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