Approximation pricing and the variance-optimal martingale measure
type: Item
instance of: scholarly article
title: Approximation pricing and the variance-optimal martingale measure
zbMATH Open document ID: 0854.60045
author: Martin Schweizer
published in: The Annals of Probability
publication date: 1997-01-05T00:00:00Z
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60H05
zbMATH DE Number: 926210
zbMATH Keywords: option pricing
zbMATH Keywords: variance-optimal martingale measure
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: incomplete markets
zbMATH Keywords: adjustment process
zbMATH Keywords: mean-variance trade-off
zbMATH Keywords: minimal signed martingale measure
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aop/1042644714
OpenAlex ID: W1966132745
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DOI: 10.1214/AOP/1042644714
description: scientific article; zbMATH DE number 926210