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Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems

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  • Francesco Cordoni
  • Luca Di Persio

Abstract

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.

Suggested Citation

  • Francesco Cordoni & Luca Di Persio, 2014. "Backward Stochastic Differential Equations Approach to Hedging, Option Pricing, and Insurance Problems," International Journal of Stochastic Analysis, Hindawi, vol. 2014, pages 1-11, September.
    • Handle: RePEc:hin:jnijsa:152389
    DOI: 10.1155/2014/152389
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    Cited by:

    1. Quanbo Zha & Gang Kou & Hengjie Zhang & Haiming Liang & Xia Chen & Cong-Cong Li & Yucheng Dong, 2020. "Opinion dynamics in finance and business: a literature review and research opportunities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-22, December.
    2. Jingnan Wang & Ralf Korn, 2020. "Numerical Algorithms for Reflected Anticipated Backward Stochastic Differential Equations with Two Obstacles and Default Risk," Risks, MDPI, vol. 8(3), pages 1-30, July.

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