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A semimartingale BSDE related to the minimal entropy martingale measure
Authors:Michael Mania  Marina Santacroce  Revaz Tevzadze
Affiliation:(1) A. Razmadze Mathematical Institute, Georgian Academy of Sciences, M. Aleksidze St. 1, 380093 Tbilisi, Georgia (e-mail: mania@imath-srv.rmi.acnet.ge) , GE;(2) Dipartimento di Scienze Economiche e Metodi Quantitativi, Università degli Studi del Piemonte Orientale A. Avogadro, V. Perrone 18, 28100 Novara, Italy (e-mail: marina.santacroce@eco.unipmn.it) , IT;(3) Institute of Cybernetics, Georgian Academy of Sciences, S. Euli St. 5, 380086 Tbilisi, Georgia (e-mail: reztev@yahoo.com) , GE
Abstract:
Keywords:: Semimartingale backward equation   contingent claim pricing   minimal entropy martingale measure   incomplete markets
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