Classical solutions to reaction-diffusion systems for hedging problems with interacting Ito and point processes

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

We use probabilistic methods to study classical solutions for systems of interacting semilinear parabolic partial differential equations. In a modeling framework for a financial market with interacting Ito and point processes, such PDEs are shown to provide a natural description for the solution of hedging and valuation problems for contingent claims with a recursive payoff structure.
Published at http://dx.doi.org/10.1214/105051604000000846 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Keywords

Probability, Computational Finance, 60H30, 60J25, 91B28 (Primary) 60G44, 60G55, 91B30. (Secondary)

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/210151

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0505208
 http://arxiv.org/abs/math/0505208
 Annals of Applied Probability 2005, Vol. 15, No. 2, 1111-1144
 doi:10.1214/105051604000000846

Collections

arXiv