Login
- Title:
A Counterexample Concerning the Variance-Optimal Martingale Measure
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Cerny, A.; Kallsen, J.
- Non-TUM Co-author(s):
- ja
- Cooperation:
- international
- Abstract:
- The present note addresses an open question concerning a sufficient characterization of the variance-optimal martingale measure. Denote by S the discounted price process of an asset and suppose that Q* is an equivalent martingale measure whose density is a multiple of 1 - φ · S(T) for some S-integrable process φ. We show that Q* does not necessarily coincide with the variance-optimal martingale measure, not even if φ · S is a uniformly integrable Q*-martingale.
- Intellectual Contribution:
- Discipline-based Research
- Journal title:
- Mathematical Finance
- Year:
- 2008
- Journal volume:
- 18
- Journal issue:
- 2
- Pages contribution:
- 305-316
- Language:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- Commissioned:
- not commissioned
- Professional Journal:
- Nein
BibTeX
versions
