Approximation pricing and the variance-optimal martingale measure

DOI10.1214/aop/1042644714zbMath0854.60045OpenAlexW1966132745MaRDI QIDQ1922074

Publication date: 5 January 1997

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1042644714

zbMATH Keywords

option pricing backward stochastic differential equations incomplete markets adjustment process variance-optimal martingale measure mean-variance trade-off minimal signed martingale measure

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

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