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)

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)

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Cited in

(3)

• Pricing and hedging of derivatives based on nontradable underlyings
• Solvability of coupled FBSDEs with diagonally quadratic generators
• Multidimensional Markovian FBSDEs with super-quadratic growth

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