Cover Image

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

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.
Year of publication:
2005-05
Authors: Becherer, Dirk ; Schweizer, Martin
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in Annals of Applied Probability 2005, Vol. 15, No. 2, 1111-1144
Source:
Persistent link: https://www.econbiz.de/10005084341
Similar items by person