Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems
Francesco Cordoni and
Luca Di Persio
International Journal of Stochastic Analysis, 2014, vol. 2014, 1-11
In the present work we give a self-contained introduction to financial mathematical models characterized by noise of Lévy type in the framework of the backward stochastic differential equations theory. Such techniques will be then used to analyse an innovative model related to insurance and death processes setting.
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:152389
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