A multi-dimensional FBSDE with quadratic generator and its applications
We consider, in the Markovian framework, a multi-dimensional forward - back - ward stochastic differential equation with quadratic growth for the generator function of the backward system. We prove an existence result of the solution and we use this result for pricing and hedging of contingent claim...
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| Format: | Article |
| Language: | English |
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Sciendo
2015-06-01
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| Series: | Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica |
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| Online Access: | https://doi.org/10.1515/auom-2015-0038 |