The DOI matches its Crossref record; 24 of the 24 references it cites were found in a registry or an index.
Backward Stochastic Differential Equations in Finance
Abstract
We are concerned with different properties of backward stochastic differential equations and their applications to finance. These equations, first introduced by Pardoux and Peng (1990), are useful for the theory of contingent claim valuation, especially cases with constraints and for the theory of recursive utilities, introduced by Duffie and Epstein (1992a, 1992b).
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Cites
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Merton, R. C. (2005) · Theory of Valuation · doi:10.1142/9789812701022_0008 · Cited by 7,161
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Cited by
Optimal Consumption and Portfolio Selection with Stochastic Differential Utility
Schroder, M., & Skiadas, C. (1999) · Journal of Economic Theory · doi:10.1006/jeth.1999.2558 · Cited by 312
Beck, C., E, W., & Jentzen, A. (2019) · Journal of Nonlinear Science · doi:10.1007/s00332-018-9525-3 · Cited by 308
Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning
Buehler, H., Gonon, L., Teichmann, J., Wood, B., Mohan, B., & Kochems, J. (2019) · doi:10.2139/ssrn.3355706 · Cited by 48
Metadata
- Authors
- El Karoui, N., Peng, S., & Quenez, M. C.
- Venue
- Mathematical Finance
- Publisher
- Wiley
- Published
- 1997-01
- Volume
- 7
- Issue
- 1
- Pages
- 1-71
- ISSN
- 0960-1627 (ISSN-L)
- 1467-9965
- OpenAlex
- W2157883119
- Cited by
- 2,338
- References
- 24
- FWCI
- 42.78
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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