A system of quadratic BSDEs arising in a price impact model

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...

書誌詳細
主要な著者:	Kramkov, D, Pulido, S
フォーマット:	Journal article
出版事項:	Institute of Mathematical Statistics 2016

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