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- W2013646032 abstract "Abstract 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." @default.
- W2013646032 created "2016-06-24" @default.
- W2013646032 creator A5015231341 @default.
- W2013646032 date "2005-09-01" @default.
- W2013646032 modified "2023-09-25" @default.
- W2013646032 title "Some properties of the variance-optimal martingale measure for discontinuous semimartingales" @default.
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- W2013646032 doi "https://doi.org/10.1016/j.spl.2005.04.040" @default.
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