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...
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| Formáid: | Journal article |
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Institute of Mathematical Statistics
2016
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