A multi-dimensional FBSDE with quadratic generator and its applications
| 22 kwi 2017
O artykule
Data publikacji: 22 kwi 2017
Zakres stron: 213 - 222
Otrzymano: 01 gru 2013
Przyjęty: 01 lut 2014
DOI: https://doi.org/10.1515/auom-2015-0038
Słowa kluczowe
© 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.