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A Semimartingale Bellman Equation and the Variance-Optimal Martingale Measure
16 references·0 citing·37 second hop
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References

  • 2008Stochastic differential equations and applications4,595 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1991Mean-Variance Hedging in Continuous Time383 cited
  • 1996Approximation pricing and the variance-optimal martingale measure269 cited
  • 1992Mean-Variance Hedging for General Claims246 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
  • 1994Approximating Random Variables by Stochastic Integrals179 cited
  • 1998Mean‐Variance Hedging and Numéraire179 cited
  • 1994On Quadratic Cost Criteria for Option Hedging164 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
  • 1989Residual risks and hedging strategies in Markovian markets87 cited
  • 1979A sufficient condition for the uniform integrability of exponential martingales

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