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

被引：3
|
作者：
Arai, T [1 ]
机构：
[1] Keio Univ, Fac Econ, Minato Ku, Tokyo 1088345, Japan
来源：
STATISTICS & PROBABILITY LETTERS | 2005年 / 74卷 / 02期
关键词：
variance-optimal martingale measure; mean-variance hedging; reverse Holder inequality;
D O I：
10.1016/j.spl.2005.04.040
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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 Holder inequality, respectively. Moreover, we study relationship with mean-variance hedging. (c) 2005 Elsevier B.V. All rights reserved.
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页码：163 / 170
页数：8
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