English

Pricing financial derivatives by a minimizing method

Optimization and Control 2013-10-11 v2 Probability Pricing of Securities

Abstract

We shall study backward stochastic differential equations and we will present a new approach for the existence of the solution. This type of equation appears very often in the valuation of financial derivatives in complete markets. Therefore, the identification of the solution as the unique element in a certain Banach space where a suitably chosen functional attains its minimum becomes interesting for numerical computations.

Keywords

Cite

@article{arxiv.0811.4613,
  title  = {Pricing financial derivatives by a minimizing method},
  author = {Eduard Rotenstein},
  journal= {arXiv preprint arXiv:0811.4613},
  year   = {2013}
}

Comments

This paper has been withdrawn by the author

R2 v1 2026-06-21T11:46:07.547Z