Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor (Q653653): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.bulsci.2011.04.001 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2029860965 / rank | |||
Normal rank | |||
Revision as of 23:32, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor |
scientific article |
Statements
Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor (English)
0 references
19 December 2011
0 references
FBSDEs
0 references
adapted solutions
0 references
contingent claims
0 references
large investor
0 references
forward-backward stochastic differential equations
0 references
