A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.

Mania, M.; Tevzadze, R.

Georgian Mathematical Journal (2003)

  • Volume: 10, Issue: 2, page 289-310
  • ISSN: 1072-947X

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Mania, M., and Tevzadze, R.. "A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.." Georgian Mathematical Journal 10.2 (2003): 289-310. <http://eudml.org/doc/50819>.

@article{Mania2003,
author = {Mania, M., Tevzadze, R.},
journal = {Georgian Mathematical Journal},
keywords = {backward semimartingale equation; backward stochastic differential equation; -optimal martingale measure; minimal entropy martingale measure; contingent claim; pricing; -optimal martingale measure},
language = {eng},
number = {2},
pages = {289-310},
publisher = {Walter de Gruyter},
title = {A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.},
url = {http://eudml.org/doc/50819},
volume = {10},
year = {2003},
}

TY - JOUR
AU - Mania, M.
AU - Tevzadze, R.
TI - A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.
JO - Georgian Mathematical Journal
PY - 2003
PB - Walter de Gruyter
VL - 10
IS - 2
SP - 289
EP - 310
LA - eng
KW - backward semimartingale equation; backward stochastic differential equation; -optimal martingale measure; minimal entropy martingale measure; contingent claim; pricing; -optimal martingale measure
UR - http://eudml.org/doc/50819
ER -

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