AN ALTERNATIVE APPROACH FOR THE ASSETS PRICING IN UNSTABLE FINANCIAL MARKETS
AN ALTERNATIVE APPROACH FOR THE ASSETS PRICING IN UNSTABLE FINANCIAL MARKETS
Author(s): Romeo NegreaSubject(s): Economy, Methodology and research technology, Financial Markets
Published by: Editura Eurostampa
Keywords: stochastic finances; stochastic modeling; forward-backward stochastic differential equations; option pricing; contingent claims valuation; zero-bond pricing;
Summary/Abstract: An alternative approach to stochastic calculus for a financial model on some imperfect and unstable financial markets is proposed. Following the most recent instrument for the financial modeling, we study the solvability of a class of forward backward stochastic differential equations (FBSDE) in the framework of McShane stochastic calculus, in some general hypothesis on the initial value and the coefficient functions.
Journal: Anale. Seria Ştiinţe Economice. Timişoara
- Issue Year: XXI/2015
- Issue No: 21
- Page Range: 303-311
- Page Count: 9
- Language: English
