Hedging options for a large investor and forward-backward SDE's

Annals of Applied Probability

Volumn 6, Issue 2, 1996, Pages 370-398

  Cvitanić, Jakša ^a   Ma, Jin ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b PURDUE UNIVERSITY   (United States)

Author keywords

Contingent claims; Forward backward stochastic differential equations; Hedging strategy; Large investor

Indexed keywords

EID: 0030510296     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1034968136     Document Type: Article

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