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

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Publication:1814742

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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 equation linear stochastic differential equations continuous-time financial market model forward 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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