Non-linear pricing theory and backward stochastic differential equations-Reference-Cited by-同舟云学术

Non-linear pricing theory and backward stochastic differential equations

Published:1997 Issue: Volume: Page:191-246
ISSN:0075-8434
Container-title:Lecture Notes in Mathematics
language:
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Author:

El Karoui N.,Quenez M.C.

Publisher

Springer Berlin Heidelberg

Link

http://link.springer.com/content/pdf/10.1007/BFb0092001

Reference69 articles.

1. Antonelli, F. (1992) “Backward-Forward Stochastic Differential Equations”, Annals of Applied Probability 3. 777–793 (1993).

2. Barles, G. (1994) “Solutions de viscocité des équations de Hamilton-Jacobi du premier ordre et Applications”, Mathématiques et Applications 17, Springer 1994.

3. Barles, G. & Kobylansky, M. (1996): “Existence and uniqueness results for backward stochastic differential equationswhen the generator has a quadratic growth”. Université de Tours, preprint.

4. Benes, V.E. (1971) “Existence of Optimal Stochastic Control Law” SIAM J. of Control, 9, 446–472.

5. Bergman, Y. (1991) “Option Pricing with Divergent Borrowing and Lending Rates,” Working Paper, Dpt of Economics Brown University.

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