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 -