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

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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Year of publication:	2005
Authors:	Arai, Takuji
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 74.2005, 2, p. 163-170
Publisher:	Elsevier
Keywords:	Variance-optimal martingale measure Mean-variance hedging Reverse Holder inequality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319420