Approximation pricing and the variance-optimal martingale measure

Annals of Probability

Volumn 24, Issue 1, 1996, Pages 206-236

  Schweizer, Martin ^a  

^a TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

Author keywords

Adjustment process; Backward stochastic differential equations; Incomplete markets; Mean variance tradeoff; Minimal signed martingale measure; Option pricing; Variance optimal martingale measure

Indexed keywords

EID: 0030516623     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1042644714     Document Type: Article

References (29)

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