Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor
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Publication:653653
DOI10.1016/j.bulsci.2011.04.001zbMath1230.60064MaRDI QIDQ653653
Publication date: 19 December 2011
Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.bulsci.2011.04.001
contingent claims; forward-backward stochastic differential equations; large investor; adapted solutions; FBSDEs
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B24: Microeconomic theory (price theory and economic markets)
60H20: Stochastic integral equations
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Cites Work
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