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Whenever I write, in my org-mode file, \footnote{bla bla bla $\whatever_{something}$} I get an error in the .tex file generated.
What it exports to the tex file is \footnote\\{bla bla bla \whatever_{something} \\\} (note the lack of dollar signs),
which obviously is not compiled in the right way by latex.
However, if I remove the parentheses around the subscript, i.e.\footnote{bla bla bla $\whatever_s$}, then it is exported correctly.
How can I fix the export?
You can use org-mode's own built-in footnote feature. The default binding to insert a footnote automatically is, C-c C-x f. Here is a MWE of an org-mode file that exports to LaTeX correctly, tested in org-mode v8.2.10.
A sentence[fn:1].
* Footnotes
[fn:1] bla bla bla $\whatever_{something}$
#+begin_latex..#+end_latexor#+begin_src latex..#+end_src.