The variance-optimal martingale measure for continuous processes

• 1 March 1996
• journal article
• Published by Bernoulli Society for Mathematical Statistics and Probability in Bernoulli
• Vol. 2  (1) , 81-105
• https://doi.org/10.3150/bj/1193758791

Abstract

Keywords

• OPTIMAL MARTINGALE MEASURE
• MEASURE FOR CONTINUOUS
• VARIANCE OPTIMAL MARTINGALE