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A Unified Characterization of 𝑞-Optimal and Minimal Entropy Martingale Measures by Semimartingale Backward Equations
16 references·1 citing·30 second hop
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References

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  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
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  • 1986Stochastic Calculus and Applications.673 cited
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2002
On the minimal entropy martingale measure
123 cited

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  • 2010Risk aversion asymptotics for power utility maximization22 cited