The variance-optimal martingale measure for continuous processes

Bernoulli

Volumn 2, Issue 1, 1996, Pages 81-105

  Delbaen, Freddy ^b   Schachermayer, Walter ^a,b  

^a VRIJE UNIVERSITEIT BRUSSEL   (Belgium)

^b Institut fur Statistik   (Austria)

Author keywords

Equivalent martingale measure; Mathematical finance; Optimal measure; Pricing by arbitrage; Representing measure; Risk neutral measure

Indexed keywords

EID: 84879759824     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1193758791     Document Type: Article

References (22)

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