Backward Stochastic Differential Equation on Hedging American Contingent Claims
نویسندگان
چکیده
منابع مشابه
Backward Stochastic Differential Equation on Hedging American Contingent Claims
We consider a general wealth process with a drift coefficient which is a function of the wealth process and the portfolio process with convex constraint. Existence and uniqueness of a minimal solution are established. We convert the problem of hedging American contingent claims into the problem of minimal solution of backward stochastic differential equation, and obtain the upper hedging price ...
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ژورنال
عنوان ژورنال: Mathematical and Computational Applications
سال: 2010
ISSN: 2297-8747
DOI: 10.3390/mca15050895