| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10526209 | Statistics & Probability Letters | 2005 | 8 Pages |
Abstract
We focus on properties of the variance-optimal martingale measure for discontinuous semimartingales. In particular, we give sufficient conditions for the variance-optimal martingale measure to be a probability measure, and for the density process of the variance-optimal martingale measure to satisfy the reverse Hölder inequality, respectively. Moreover, we study relationship with mean-variance hedging.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Takuji Arai,