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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron: Kramkov, D, Pulido, S
Fformat: Journal article
Cyhoeddwyd: Institute of Mathematical Statistics 2016