Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406): Difference between revisions
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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. | |||
| Property / review text: 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. / rank | |||
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| Property / reviewed by | |||
| Property / reviewed by: Johannes Muhle-Karbe / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B30 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6358573 / rank | |||
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| Property / zbMATH Keywords | |||
pricing and hedging of derivates | |||
| Property / zbMATH Keywords: pricing and hedging of derivates / rank | |||
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| Property / zbMATH Keywords | |||
backward stochastic differential equations | |||
| Property / zbMATH Keywords: backward stochastic differential equations / rank | |||
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| Property / zbMATH Keywords | |||
life insurance | |||
| Property / zbMATH Keywords: life insurance / rank | |||
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Revision as of 13:08, 30 June 2023
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)
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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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