A multi-dimensional FBSDE with quadratic generator and its applications
| 22 abr 2017
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Publicado en línea: 22 abr 2017
Páginas: 213 - 222
Recibido: 01 dic 2013
Aceptado: 01 feb 2014
DOI: https://doi.org/10.1515/auom-2015-0038
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© 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.