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research
A counterexample concerning the variance-optimal martingalle measure
Authors
J. Kallsen
A. Černý
Publication date
1 January 2008
Publisher
Wiley
Doi
Cite
Abstract
The present note addresses an open question concerning a sufficient characterization of the variance-optimal martingale measure
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MACAU: Open Access Repository of Kiel University
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oai:macau.uni-kiel.de:publ_mod...
Last time updated on 05/12/2019
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City Research Online
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oai:openaccess.city.ac.uk:3260
Last time updated on 26/07/2014