Forward-backward SDEs with random terminal time and applications to pricing special European-type options for a large investor

DOI10.1016/j.bulsci.2011.04.001zbMath1230.60064OpenAlexW2029860965MaRDI QIDQ653653

Juliang Yin

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

zbMATH Keywords

contingent claimsforward-backward stochastic differential equationslarge investoradapted solutionsFBSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Stochastic integral equations (60H20)

Related Items (3)

The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Edge universality of correlation matrices ⋮ Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients

Cites Work

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• Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
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• Unnamed Item

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