The Application of Backward Stochastic DifferentialEquations to European Option
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Abstract:
Assuming that there is no arbitrage and there are two securities traded, riskless and risky in the market, by self-financing strategy we obtain the BSDE option price satisfies ,and then we will get the probability expression formula of the European options' price by BSDE. We will give the proof of the complete hedging of the European option.
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SHI Zhengwei, FU Yige. The Application of Backward Stochastic DifferentialEquations to European Option[J]. Journal of National University of Defense Technology,2003,25(5):94-97.