Pages that link to "Item:Q1814742"
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The following pages link to Hedging options for a large investor and forward-backward SDE's (Q1814742):
Displaying 50 items.
- Lie symmetry reductions and exact solutions of an option-pricing equation for large agents (Q305826) (← links)
- Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact (Q316889) (← links)
- Reflected generalized BSDEs with random time and applications (Q380746) (← links)
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps (Q413924) (← links)
- Forward-backward linear quadratic stochastic optimal control problem with delay (Q450791) (← links)
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance (Q458848) (← links)
- A type of general forward-backward stochastic differential equations and applications (Q545411) (← links)
- Option hedging for small investors under liquidity costs (Q650751) (← links)
- Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor (Q653653) (← links)
- Large traders and illiquid options: hedging vs. manipulation (Q658638) (← links)
- Portfolio optimization for a large investor under partial information and price impact (Q684140) (← links)
- On non-Markovian forward-backward SDEs and backward stochastic PDEs (Q713213) (← links)
- A model for a large investor trading at market indifference prices. II: Continuous-time case. (Q748319) (← links)
- Efficient numerical Fourier methods for coupled forward-backward SDEs (Q898981) (← links)
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection (Q927920) (← links)
- Option pricing with an illiquid underlying asset market (Q956485) (← links)
- Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems (Q983721) (← links)
- Numerical analysis and simulation of option pricing problems modeling illiquid markets (Q988271) (← links)
- Comparison theorems for forward backward SDEs (Q1004255) (← links)
- Optimal consumption choices for a `large' investor (Q1128528) (← links)
- Adapted solution of a degenerate backward SPDE, with applications (Q1275953) (← links)
- Backward stochastic differential equations with rank-based data (Q1705560) (← links)
- Perfect hedging under endogenous permanent market impacts (Q1709607) (← links)
- Non-zero sum differential games of anticipated forward-backward stochastic differential delayed equations under partial information and application (Q1711108) (← links)
- A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets (Q1761652) (← links)
- Forward-backward stochastic differential equations with nonsmooth coefficients. (Q1877391) (← links)
- Pricing in an equilibrium based model for a large investor (Q1932553) (← links)
- Forward-backward doubly stochastic differential equations and related stochastic partial differential equations (Q1934378) (← links)
- A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints (Q1938232) (← links)
- Optimal consumption and portfolio selection with stochastic differential utility (Q1961363) (← links)
- The comparison theorem of FBSDE (Q1962156) (← links)
- Infinite horizon forward-backward doubly stochastic differential equations and related SPDEs (Q2025173) (← links)
- FBSDEs involving time delays and advancements on infinite horizon and LQ problems with delays (Q2124484) (← links)
- American options in a non-linear incomplete market model with default (Q2239267) (← links)
- A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information (Q2251741) (← links)
- A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints (Q2257654) (← links)
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations (Q2268069) (← links)
- Pricing European options in a discrete time model for the limit order book (Q2283686) (← links)
- Backward-forward linear-quadratic mean-field games with major and minor agents (Q2296087) (← links)
- A branching particle system approximation for a class of FBSDEs (Q2296088) (← links)
- A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance (Q2301492) (← links)
- Forward-backward stochastic differential equations on infinite horizon and quasilinear elliptic PDEs (Q2302933) (← links)
- A model for a large investor trading at market indifference prices. I: Single-period case (Q2339125) (← links)
- Solutions for functional fully coupled forward-backward stochastic differential equations (Q2344869) (← links)
- On well-posedness of forward-backward SDEs -- a unified approach (Q2354895) (← links)
- Stochastic differential games for fully coupled FBSDEs with jumps (Q2355304) (← links)
- A maximum principle for general backward stochastic differential equation (Q2400066) (← links)
- Forward-backward SDEs driven by Lévy process in stopping time duration (Q2408500) (← links)
- Near-optimal control for stochastic recursive problems (Q2430960) (← links)
- Obstacle problem for nonlinear integro-differential equations arising in option pricing (Q2467933) (← links)
