A system of quadratic BSDEs arising in a price impact model
We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of a system of BSDEs with quadratic growth. We show that this system admits a unique solution for every bounded...
| Hlavní autoři: | , |
|---|---|
| Médium: | Journal article |
| Vydáno: |
Institute of Mathematical Statistics
2016
|