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- W2971313889 abstract "Based on an extension of the martingale comparison method some comparison results for path-dependent functions of semimartingales are established. The proof makes essential use of the functional Ito calculus. A main tool is an extension of the Kolmogorov backwards equation to path-dependent functions. The paper also derives criteria for the regularity conditions of the comparison theorems and discusses applications as to the comparison of Asian options for semimartingale models." @default.
- W2971313889 created "2019-09-05" @default.
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- W2971313889 date "2019-08-27" @default.
- W2971313889 modified "2023-09-27" @default.
- W2971313889 title "Comparison of path-dependent functionals of semimartingales" @default.
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