等价鞅测度选择问题的注记(英文)

A Note on the Selection of Equivalent Martingale Measure

本文研究了定价理论中的等价测度的选择问题，提出了按相对熵极小化作为一种新的选择标准。所得结论推广了已有的定价理论，尤适用于最小鞅测度不存在的情形。

In this paper, an incomplete financial market with discontinuous assets price process is studied. Instead of the minimal martingale measure, which can only exist in a special case, a new reference probability measure is given, and is shown to be best in relative entropy minimization senses.