<abstract xmlns="http://www.w3.org/1999/xhtml"><p> We consider, in the Markovian framework, a multi-dimensional forward - back - ward stochastic differential equation with quadratic growth for the generator function of the backward system. We prove an existence result of the solution and we use this result for pricing and hedging of contingent claims that depend on non-tradeable indexes by portfolios consisting in correlated risky assets.</p></abstract>

We consider, in the Markovian framework, a multi-dimensional forward - back - ward stochastic differential equation with quadratic growth for the generator function of the backward system. We prove an existence result of the solution and we use this result for pricing and hedging of contingent claims that depend on non-tradeable indexes by portfolios consisting in correlated risky assets.

A multi-dimensional FBSDE with quadratic generator and its applications

Faculty of Mathematics, “Al. I. Cuza“ University of Iaşi, 9 Carol I Blvd., 700506 Iaşi,

Analele ştiinţifice ale Universităţii "Ovidius" Constanţa. Seria Matematică

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

{"article-title":"A multi-dimensional FBSDE with quadratic generator and its applications"}

We consider, in the Markovian framework, a multi-dimensional forward - back - ward stochastic differential equation with quadratic growth for the generator...

A multi-dimensional FBSDE with quadratic generator and its applications

Online veröffentlicht: 22. Apr. 2017

Seitenbereich: 213 - 222

Eingereicht: 01. Dez. 2013

Akzeptiert: 01. Feb. 2014

DOI: https://doi.org/10.1515/auom-2015-0038

Schlüsselwörter
Forward-backward SDEs, Quadratic growth, Financial derivatives

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

A multi-dimensional FBSDE with quadratic generator and its applications

Online veröffentlicht: 22. Apr. 2017

Seitenbereich: 213 - 222

Eingereicht: 01. Dez. 2013

Akzeptiert: 01. Feb. 2014

DOI: https://doi.org/10.1515/auom-2015-0038

SchlüsselwörterForward-backward SDEs, Quadratic growth, Financial derivatives

© 2017

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Schlüsselwörter
Forward-backward SDEs, Quadratic growth, Financial derivatives