Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
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| English | Backward stochastic differential equations approach to hedging, option pricing, and insurance problems |
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Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (English)
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20 October 2014
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The authors survey applications of backward stochastic differential equations to the pricing and hedging of derivative securities. They also present some new examples in the context of life insurance.
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pricing and hedging of derivates
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backward stochastic differential equations
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life insurance
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