About this article
Published Online: Apr 22, 2017
Page range: 213 - 222
Received: Dec 01, 2013
Accepted: Feb 01, 2014
DOI: https://doi.org/10.1515/auom-2015-0038
Keywords
© 2017
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
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 claims that depend on non-tradeable indexes by portfolios consisting in correlated risky assets.