We refine some criteria for the convex comparison of martingale densities suggested in Franke et al. (1999) and Bellini … apply these conditions to the case of minimal f-divergence martingale measures, establishing an ordering result in the case …

equivalent martingale measure is not unique for this market, and there are non-replicable claims. The martingale prices and the … hedging error can vary significantly and take extreme values, for some extreme choices of the equivalent martingale measures …. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures …