(1994-2003 )

(1994-2003 ) - 4

(1994-2003 ) - 2

- 6

(1994-2003 )

1. M. A. H. Dempster and J. P. Hutton, Pricing American stock options by linear programming. Math. Finance 9 (1999), No. 3, 229-254.

[16]

2. H. Follmer and P. Protter, On Itos formula for multidimensional Brownian motion. Probab. Theory Related Fields 116 (2000), No. 1, 1-20.

[15]

3. R. Tevzadze, Mixed problem for the Bellman equation with measurable coefficients. Mem. Differential Equations Math. Phys. 19 (2000), 142-149.

[18]

4. S. Gugushvili, Dynamic programming and mean-variance hedging in discrete time. Georgian Math. J. 10 (2003), No. 2, 237-246.

[28]

5. V. Henderson, D. Hobson , S. Howison, and T. Kluge, A comparison of q-optimal option prices in a stochastic volatility model with correlation. www.maths.ox.ac.uk/~henders1/SV10thjan.pdf.

[30]

6. F. E. Benth and K. H. Karlsen, A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets. www.mathuio.no/~fredb/minimal-entropy.ps.

[30]