BSDEs, càdlàg martingale problems, and orthogonalization under basis risk (Q2813078)
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scientific article; zbMATH DE number 6593367
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BSDEs, càdlàg martingale problems, and orthogonalization under basis risk |
scientific article; zbMATH DE number 6593367 |
Statements
15 June 2016
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backward stochastic differential equation (BSDE)
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cádlág martingales
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basis risk
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Follmer-Schweitzer decomposition
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quadratic hedging
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martingale problem
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0.9237627
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0.9061345
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0.89786804
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0.89471596
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0.89215666
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0.8874757
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BSDEs, càdlàg martingale problems, and orthogonalization under basis risk (English)
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The paper deals with the deterministic analysis for BSDE driven by general cádlág martingales. The application is concerned with the hedging problem under basis risk of a contingent claim depending on underlying prices for traded and non traded but observable assets via the Follmer-Schweitzer decomposition. Specific case of diffusion processes is considered and the explicit expression is provided for exponential of additive processes.
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