À propos de cet article
Publié en ligne: 22 avr. 2017
Pages: 213 - 222
Reçu: 01 déc. 2013
Accepté: 01 févr. 2014
DOI: https://doi.org/10.1515/auom-2015-0038
Mots clés
© 2017
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
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.