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arxiv: 0811.4613 · v2 · pith:HWGS3AVLnew · submitted 2008-11-27 · 🧮 math.OC · math.PR· q-fin.PR

Pricing financial derivatives by a minimizing method

classification 🧮 math.OC math.PRq-fin.PR
keywords derivativesfinancialsolutionappearsapproachattainsbackwardbanach
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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.

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