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

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  • Arai, Takuji
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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 Hölder inequality, respectively. Moreover, we study relationship with mean-variance hedging.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-4G7NKYC-5/2/f0115dbffc696373a6f8fc6e7c0f68d3
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 74 (2005)
    Issue (Month): 2 (September)
    Pages: 163-170

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    Handle: RePEc:eee:stapro:v:74:y:2005:i:2:p:163-170

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    Related research

    Keywords: Variance-optimal martingale measure Mean-variance hedging Reverse Holder inequality;

    References

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    1. Takuji Arai, 2005. "An extension of mean-variance hedging to the discontinuous case," Finance and Stochastics, Springer, vol. 9(1), pages 129-139, January.
    2. Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer, 1997. "Weighted norm inequalities and hedging in incomplete markets," Finance and Stochastics, Springer, vol. 1(3), pages 181-227.
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    Cited by:
    1. St\'ephane Goutte & Nadia Oudjane & Francesco Russo, 2009. "Variance Optimal Hedging for continuous time processes with independent increments and applications," Papers 0912.0372, arXiv.org.
    2. St\'ephane Goutte & Nadia Oudjane & Francesco Russo, 2013. "Variance optimal hedging for continuous time additive processes and applications," Papers 1302.1965, arXiv.org.

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