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scientific article; zbMATH DE number 2113405
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scientific article; zbMATH DE number 2113405

    Statements

    author
    Michael Mania
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    Marina Santacroce
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    Revaz Tevzadze
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    publication date
    1 November 2004
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    zbMATH Keywords
    Minimal entropy martingale measure
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    backward stochastic differential equation
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    Bellman equation
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    incomplete market
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    stochastic volatility model
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60H30
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    90C39
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    zbMATH DE Number
    2113405
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