A Unified Characterization of q-Optimal and Minimal Entropy Martingale Measures by Semimartingale Backward Equations

Georgian Mathematical Journal

Volumn 10, Issue 2, 2003, Pages 289-310

  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; minimal entropy martingale measure; q optimal martingale measure

Indexed keywords

EID: 85009166105     PISSN: 1072947X     EISSN: 15729176     Source Type: Journal    
DOI: 10.1515/GMJ.2003.289     Document Type: Article

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