<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

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
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

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 chiaveForward-backward SDEs, Quadratic growth, Financial derivatives

© 2017

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

Parole chiave
Forward-backward SDEs, Quadratic growth, Financial derivatives