A Semimartingale Bellman Equation and the Variance-Optimal Martingale Measure

Georgian Mathematical Journal

Volumn 7, Issue 4, 2000, Pages 765-792

  Mania, M ^a   Tevzadze, R ^b  

^a A RAZMADZE MATHEMATICAL INSTITUTE   (Georgia)

^b INSTITUTE OF CYBERNETICS   (Georgia)

Author keywords

Backward semimartingale equation; Contingent claim pricing; Incomplete markets; The Bellman equation; Variance optimal martingale measure

Indexed keywords

EID: 0242706804     PISSN: 1072947X     EISSN: 15729176     Source Type: Journal    
DOI: 10.1515/GMJ.2000.765     Document Type: Article

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