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Pricing and hedging with globally and instantaneously vanishing risk

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  • Leitner Johannes

Abstract

Using a backward stochastic differential equation (BSDE) approach in a Brownian motion setting, we determine in an incomplete market an initial price Y0 for a non-attainable claim ξ ∈ Lp, 1

Suggested Citation

  • Leitner Johannes, 2007. "Pricing and hedging with globally and instantaneously vanishing risk," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 311-332, October.
    • Handle: RePEc:bpj:strimo:v:25:y:2007:i:4/2007:p:22:n:4
    DOI: 10.1524/stnd.2007.0906
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    References listed on IDEAS

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