Some properties of the variance-optimal martingale measure for discontinuous semimartingales
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Publication:2566718
DOI10.1016/j.spl.2005.04.040zbMath1079.60047OpenAlexW2013646032MaRDI QIDQ2566718
Publication date: 28 September 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.04.040
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Related Items (2)
$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE ⋮ Variance optimal hedging for continuous time additive processes and applications
Cites Work
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- Calcul stochastique et problèmes de martingales
- Weighted norm inequalities and hedging in incomplete markets
- \(\mathcal E\)-martingales and their applications in mathematical finance
- An extension of mean-variance hedging to the discontinuous case
- The variance-optimal martingale measure for continuous processes
- On the minimal martingale measure and the möllmer-schweizer decomposition
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