Application of Moore-Penrose inverse in deciding the minimal martingale measure
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- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
- A minimality property of the minimal martingale measure
- Approximation pricing and the variance-optimal martingale measure
- On correlation calculus for multivariate martingales
- On the minimal martingale measure and the möllmer-schweizer decomposition
- The pricing of options on assets with stochastic volatilities
- The variance-optimal martingale measure for continuous processes
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