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ROBUSTNESS OF QUADRATIC HEDGING STRATEGIES IN FINANCE VIA BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS
(Research report / Forskningsrapport, 2013)
We consider a backward stochastic di erential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the ...