Backward Stochastic Differential Equation on Hedging American Contingent Claims
School of Applied Mathematics, Nanjing University of Finance and Economics, Nanjing, China
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Math. Comput. Appl. 2010, 15(5), 895-900; https://doi.org/10.3390/mca15050895
Submission received: 31 December 2010
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Accepted: 31 December 2010
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Published: 31 December 2010
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.
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MDPI and ACS Style
Song, R.; Wang, B. Backward Stochastic Differential Equation on Hedging American Contingent Claims. Math. Comput. Appl. 2010, 15, 895-900. https://doi.org/10.3390/mca15050895
AMA Style
Song R, Wang B. Backward Stochastic Differential Equation on Hedging American Contingent Claims. Mathematical and Computational Applications. 2010; 15(5):895-900. https://doi.org/10.3390/mca15050895
Chicago/Turabian StyleSong, Ruili, and Bo Wang. 2010. "Backward Stochastic Differential Equation on Hedging American Contingent Claims" Mathematical and Computational Applications 15, no. 5: 895-900. https://doi.org/10.3390/mca15050895
