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A Semimartingale Backward Equation and the Variance-Optimal Martingale Measure under General Information Flow
16 references·2 citing·40 second hop
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References

  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1983STOCHASTIC CALCULUS AND APPLICATIONS480 cited
  • 1996Approximation pricing and the variance-optimal martingale measure269 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
  • 1994Approximating Random Variables by Stochastic Integrals179 cited
  • 1998Mean‐Variance Hedging and Numéraire179 cited
  • 1994Couverture des actifs contingents et prix maximum152 cited
  • 1999Dynamic programming and mean-variance hedging152 cited
  • 1998Mean-variance hedging for continuous processes: New proofs and examples127 cited
  • 1997Weighted norm inequalities and hedging in incomplete markets118 cited
  • 2000Mean‐Variance Hedging for Stochastic Volatility Models84 cited
  • 2003A semimartingale BSDE related to the minimal entropy martingale measure45 cited
  • 1979A sufficient condition for the uniform integrability of exponential martingales42 cited
  • 1983

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Martingale ideology in the theory of controlled stochastic processes
36 cited

Cited by

  • 2017Lp solutions of backward stochastic differential equations with jumps24 cited
  • 2008A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE23 cited