$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE

Takuji Arai ()
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Takuji Arai: Department of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo, 108-8345, Japan

International Journal of Theoretical and Applied Finance (IJTAF), 2008, vol. 11, issue 08, 869-888

Abstract: The aim of this paper is to give an extension of the mean-variance hedging problem to the $\mathcal{L}^p$-setting, where 1

Keywords: Semimartingales; stochastic integrals; q-optimal martingale measure; option pricing; mathematical finance (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1142/S0219024908005068

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