## Minimal Entropy-Hellinger Martingale Measure in Incomplete Markets

- T. Choulli, C. Stricker
- Mathematical Finance
- 2005

@inproceedings{Mello2007MinimaxAP, title={Minimax Asset Price Bounds in Incomplete Markets}, author={A. G. Souza Mello}, year={2007} }

- Published 2007

This paper develops an approach to tighten the bounds on asset pricing in an incomplete market that combines no-arbitrage pricing and preference-based pricing, and the approach is applied to call options without dynamic rebalancing. With the no-arbitrage pricing, it is straightforward to obtain the initial bounds, which are too wide to be of practical uses… CONTINUE READING

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