Hedging options for a large investor and forward-backward SDE's
Open Access
- 1 May 1996
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Applied Probability
- Vol. 6 (2)
- https://doi.org/10.1214/aoap/1034968136
Abstract
No abstract availableThis publication has 17 references indexed in Scilit:
- Backward stochastic differential equations and quasilinear parabolic partial differential equationsPublished by Springer Nature ,2005
- Black's Consol Rate ConjectureThe Annals of Applied Probability, 1995
- Solving forward-backward stochastic differential equations explicitly — a four step schemeProbability Theory and Related Fields, 1994
- Hedging Contingent Claims with Constrained PortfoliosThe Annals of Applied Probability, 1993
- Stochastic Differential UtilityEconometrica, 1992
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equationsStochastics and Stochastic Reports, 1991
- Adapted solution of a backward stochastic differential equationSystems & Control Letters, 1990
- An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging StrategiesThe Journal of Business, 1988
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973
- Lifetime Portfolio Selection under Uncertainty: The Continuous-Time CaseThe Review of Economics and Statistics, 1969