The Variance { Optimal Martingalemeasure for Continuous
نویسنده
چکیده
We prove that for continuous stochastic processes S based on ((; F; P) for which there is an equivalent martingale measure Q 0 with square-integrable density dQ 0 =dPwe have that the so-called "variance optimal" martingale measure Q opt for which the density dQ opt =dPhas minimal L 2 (P)-norm is automatically equivalent to P. The result is then applied to an approximation problem arising in Mathematical Finance.
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