A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow
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Publication:4443061
DOI10.1137/S036301290240628XzbMath1125.91356OpenAlexW1969147487MaRDI QIDQ4443061
Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s036301290240628x
incomplete marketscontingent claim pricingvariance-optimal martingale measurebackward semimartingale equation
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