Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406): Difference between revisions
From MaRDI portal
Changed an Item |
Created claim: Wikidata QID (P12): Q59046925, #quickstatements; #temporary_batch_1704783578975 |
||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q59046925 / rank | |||
Normal rank | |||
Revision as of 08:00, 9 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Backward stochastic differential equations approach to hedging, option pricing, and insurance problems |
scientific article |
Statements
Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (English)
0 references
20 October 2014
0 references
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.
0 references
pricing and hedging of derivates
0 references
backward stochastic differential equations
0 references
life insurance
0 references
