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

Takuji Arai

doi:10.1016/j.spl.2005.04.040

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

Takuji Arai

Faculty of Economics

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	163-170
Number of pages	8
Journal	Statistics and Probability Letters
Volume	74
Issue number	2
DOIs	https://doi.org/10.1016/j.spl.2005.04.040
Publication status	Published - 2005 Sept 1

Keywords

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

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2005.04.040

Cite this

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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 H{\"o}lder inequality, respectively. Moreover, we study relationship with mean-variance hedging.",

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AB - 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.

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

Abstract

Keywords

ASJC Scopus subject areas

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