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working paper
Convexity bounds for BSDE solutions, with applications to indiļ¬erence valuation
2009
We consider backward stochastic diļ¬erential equations (BSDEs) with a particular quadratic generator and study the behaviour of their solu- tions when the probability measure is changed, the ļ¬ltration is shrunk, or the underlying probability space is transformed. Our main results are upper bounds for the solutions of the original BSDEs in terms of solutions to other BSDEs which are easier to solve. We illustrate our results by applying them to exponential utility indiļ¬erence valuation in a multidimensional ItĖo process setting.
Type
working paper
Authors
Publication date
2009
EPFL units
Available on Infoscience
October 12, 2009
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