$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE

DOI10.1142/S0219024908005068zbMath1175.91171MaRDI QIDQ3621564

Takuji Arai

Publication date: 21 April 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

option pricingsemimartingalesstochastic integralsmathematical finance\(q\)-optimal martingale measure

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

\(q\)-optimal martingale measures for discrete time models

Cites Work

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• On Fefferman and Burkholder-Davis-Gundy inequalities for \({\mathcal E}\)-martingales
• On \(L^2\)-projections on a space of stochastic integrals
• On quadratic hedging in continuous time
• An extension of mean-variance hedging to the discontinuous case
• On the structure of general mean-variance hedging strategies
• Some properties of the variance-optimal martingale measure for discontinuous semimartingales
• Mean-Variance Hedging and Numeraire
• Mean-Variance Hedging When There Are Jumps
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET

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