Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model

Dmitry Kramkov and Sergio Pulido

Papers from arXiv.org

Abstract: We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a way that it is optimal to meet an exogenous demand. We show that the prices are stable under the demand process and derive their analytic expansions for small risk aversion coefficients of the dealer.

Date: 2014-10, Revised 2016-08
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in SIAM Journal on Financial Mathematics, 2016, Vol. 7, No. 1 : pp. 567-587

Downloads: (external link)
http://arxiv.org/pdf/1410.6144 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1410.6144

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().