Next Article in Journal
Application of Hamiltonian Approach to an Oscillation of a Mass Attached to a Stretched Elastic Wire
Previous Article in Journal
Nonlinear Analysis of Damage Evolution for Steel Structures under Earthquake
Article Menu

Article Versions

Export Article

Open AccessArticle
Math. Comput. Appl. 2010, 15(5), 895-900; doi:10.3390/mca15050895

Backward Stochastic Differential Equation on Hedging American Contingent Claims

School of Applied Mathematics, Nanjing University of Finance and Economics, Nanjing, China
*
Authors to whom correspondence should be addressed.
Received: 31 December 2010 / Accepted: 31 December 2010 / Published: 31 December 2010
Download PDF [71 KB, uploaded 8 April 2016]

Abstract

We consider a general wealth process with a drift coefficient which is a function of the wealth process and the portfolio process with convex constraint. Existence and uniqueness of a minimal solution are established. We convert the problem of hedging American contingent claims into the problem of minimal solution of backward stochastic differential equation, and obtain the upper hedging price of American contingent claims.
Keywords: American Contingent Claim; Backward Stochastic Differential Equation American Contingent Claim; Backward Stochastic Differential Equation
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Song, R.; Wang, B. Backward Stochastic Differential Equation on Hedging American Contingent Claims. Math. Comput. Appl. 2010, 15, 895-900.

Show more citation formats Show less citations formats

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Math. Comput. Appl. EISSN 2297-8747 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top