Hedging options for a large investor and forward-backward SDE's

DOI10.1214/AOAP/1034968136zbMath0856.90011OpenAlexW2138297771MaRDI QIDQ1814742

Jakša Cvitanić, Jin Ma

Publication date: 31 October 1996

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1034968136

zbMATH Keywords

forward-backward stochastic differential equationlinear stochastic differential equationscontinuous-time financial market modelforward diffusion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) General systems theory (93A99)

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Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Hedging contingent claims with constrained portfolios
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A general version of the fundamental theorem of asset pricing
• PDE solutions of stochastic differential utility
• A stochastic calculus model of continuous trading: Complete markets
• Black's consol rate conjecture
• Optimization Problems in the Theory of Continuous Trading
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Equilibrium Models With Singular Asset Prices

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