A multi-dimensional FBSDE with quadratic generator and its applications
| 22 apr 2017
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Pubblicato online: 22 apr 2017
Pagine: 213 - 222
Ricevuto: 01 dic 2013
Accettato: 01 feb 2014
DOI: https://doi.org/10.1515/auom-2015-0038
Parole chiave
© 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.