A multi-dimensional FBSDE with quadratic generator and its applications

zbMATH Open1349.60097MaRDI QIDQ2806685FDOQ2806685

Authors: Eduard Rotenstein 

Publication date: 18 May 2016

Published in: Analele Științifice ale Universității ``Ovidius Constanța. Seria: Matematică (Search for Journal in Brave)

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zbMATH Keywords

quadratic growthfinancial derivativesforward-backward SDEs

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Cited In (1)

• Pricing and hedging of derivatives based on nontradable underlyings

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