Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor (Q653653)
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scientific article; zbMATH DE number 5990325
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| English | Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor |
scientific article; zbMATH DE number 5990325 |
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Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor (English)
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19 December 2011
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FBSDEs
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adapted solutions
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contingent claims
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large investor
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forward-backward stochastic differential equations
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0.7958196997642517
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0.7954320311546326
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0.7908278703689575
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0.7904693484306335
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0.7883237600326538
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