Pricing and hedging problem of foreign currency option with higher borrowing rate

DOI10.1007/S11424-013-1018-8zbMath1278.91130OpenAlexW2062962229MaRDI QIDQ394479

Zhen Wu, Zongyuan Huang, Li Chen

Publication date: 27 January 2014

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-013-1018-8

zbMATH Keywords

Malliavin calculusbackward stochastic differential equationpricingportfolio strategy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
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