The Variance-Optimal Martingale Measure for Continuous Processes
نویسندگان
چکیده
منابع مشابه
The Variance{optimal Martingale Measure for Continuous Processes
We prove that for continuous stochastic processes S based on ( ;F;P) for which there is an equivalent martingale measureQ with square-integrable density dQ=dPwe have that the so-called "variance optimal" martingale measure Q for which the density dQ=dPhas minimal L(P)-norm is automatically equivalent to P. The result is then applied to an approximation problem arising in Mathematical Finance.
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ژورنال
عنوان ژورنال: Bernoulli
سال: 1996
ISSN: 1350-7265
DOI: 10.2307/3318570