Backward stochastic differential equations approach to hedging, option pricing, and insurance problems
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Publication:462406
DOI10.1155/2014/152389zbMath1303.91170OpenAlexW2017086341WikidataQ59046925 ScholiaQ59046925MaRDI QIDQ462406
Luca Di Persio, Francesco Giuseppe Cordoni
Publication date: 20 October 2014
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/152389
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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