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Minimal Variance Martingale Measures for Geometric Lévy Processes

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • M. Jeanblanc

    (Université d'Evry, France)

  • S. Kloeppel

    (ETH, Zurich, Switzerland)

  • Y. Miyahara

    (Nagoya City University, Japan)

Abstract

This is a short report on a talk given at the “short communications” session. An article which contains the full proofs and several extensions of the results in this report is now in the preparation, and it will appear in the near future.

Suggested Citation

  • M. Jeanblanc & S. Kloeppel & Y. Miyahara, 2007. "Minimal Variance Martingale Measures for Geometric Lévy Processes," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 11, pages 193-196, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812770448_0011
    as

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