Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406)
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scientific article; zbMATH DE number 6358573
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| English | Backward stochastic differential equations approach to hedging, option pricing, and insurance problems |
scientific article; zbMATH DE number 6358573 |
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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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0.7949780225753784
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0.7757312655448914
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