Bernoulli, Vol. 2 (1996), No. 1, pp. 81-105.
![[R]](http://www.fam.tuwien.ac.at/icons/exm.gif){kind=icon}
|
[ Home page ] [ Publications and Preprints ] [ Curriculum vitae ] |
F. Delbaen, W. Schachermayer
Bernoulli, Vol. 2 (1996), No. 1, pp. 81-105.
We prove that for continuous stochastic processes $S$ based on $(\Om,
\Cal F, \Pr)$ for which there is an equivalent martingale measure $\Q^0$
with square-integrable density $d\Q^0/d\Pr$ we have that the so-called
"variance optimal" martingale measure $\Qo$ for which the density
$d\Qo/d\Pr$ has minimal $L^2(\Pr)$-norm is automatically equivalent to
$\Pr$.
The result is then applied to an approximation problem arising in
Mathematical Finance.
Publications marked with have appeared in refereed journals.
|
[ Home page ] [ Publications and Preprints ] [ Curriculum vitae ] [ Publications adressed to a wider audience ] |
Last modification of static code:
2020-09-06
Last modification of list of publications:
2024-12-09
(webadmin)