科研之友
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摘要
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 - phi. S-T for some S-integrable process phi. We show that Q* does not necessarily coincide with the variance-optimal martingale measure, not even if phi. S is a uniformly integrable Q*-martingale.
- 出版日期2008-4
