Some properties of the variance-optimal martingale measure for discontinuous semimartingales
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Publication:2566718
DOI10.1016/j.spl.2005.04.040zbMath1079.60047MaRDI QIDQ2566718
Publication date: 28 September 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.04.040
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Variance optimal hedging for continuous time additive processes and applications, $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE
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