Backward stochastic differential equations approach to hedging, option pricing, and insurance problems

DOI10.1155/2014/152389MaRDI QIDQ462406zbMATH OpenOpenAlexWikidataFDO

Authors Luca Di Persio, Francesco 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

zbMATH Keywords

backward stochastic differential equationslife insurancepricing and hedging of derivates

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(15)

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• Forward-backward SDEs driven by Lévy processes and application to option pricing
• Estimating the counterparty risk exposure by using the Brownian motion local time
• Gaussian estimates on networks with dynamic stochastic boundary conditions
• scientific article; zbMATH DE number 5375477 (Why is no real title available?)
• Feedback optimal controllers for the Heston model
• A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations
• Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
• Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
• Applications of anticipated BSDEs driven by time-changing Lévy noises
• Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions

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