A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE

DOI10.1111/j.1467-9965.2007.00334.xzbMath1133.91397OpenAlexW3122558569WikidataQ125026112 ScholiaQ125026112MaRDI QIDQ5459960

Jan Kallsen, Aleš Černý

Publication date: 30 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/3260/1/counterfinal.pdf

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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