Geodesic
A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.
Georgian Mathematical Journal, Tome 10 (2003) no. 2, pp. 289-310

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Keywords: backward semimartingale equation, backward stochastic differential equation, -optimal martingale measure, minimal entropy martingale measure, contingent claim, pricing, -optimal martingale measure 
@article{GMJ_2003__10_2_50819,
     author = {Mania, M. and Tevzadze, R.},
     title = {A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.},
     journal = {Georgian Mathematical Journal},
     pages = {289--310},
     publisher = {mathdoc},
     volume = {10},
     number = {2},
     year = {2003},
     zbl = {1040.60058},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/GMJ_2003__10_2_50819/}
}
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AU  - Tevzadze, R.
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Mania, M.; Tevzadze, R. A unified characterization of -optimal and minimal entropy martingale measures by semimartingale backward equations.. Georgian Mathematical Journal, Tome 10 (2003) no. 2, pp. 289-310. http://geodesic.mathdoc.fr/item/GMJ_2003__10_2_50819/