Some properties of the variance-optimal martingale measure for discontinuous semimartingales

Research output: Contribution to journalArticle

3 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)163-170
Number of pages8
JournalStatistics and Probability Letters
Volume74
Issue number2
DOIs
Publication statusPublished - 2005 Sep 1

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Martingale Measure
Semimartingale
Mean-variance Hedging
Reverse Inequality
Probability Measure
Sufficient Conditions
Variance-optimal martingale measure

Keywords

  • Mean-variance hedging
  • Reverse Hölder inequality
  • Variance-optimal martingale measure

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Statistics and Probability

Cite this

Some properties of the variance-optimal martingale measure for discontinuous semimartingales. / Arai, Takuji.

In: Statistics and Probability Letters, Vol. 74, No. 2, 01.09.2005, p. 163-170.

Research output: Contribution to journalArticle

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