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Backward Stochastic Differential Equations with Continuous Coefficients in a Markov Chain Model and with Applications to European Options

In this paper we discuss backward stochastic differential equations with Markov chain noise, having continuous drivers. We obtain the existence of a solution which is possibly not unique. Moreover, we show there is a minimal solution for this kind of equation and derive the corresponding comparison result. This is applied to pricing of European options in a market with Markov chain noise.

preprint2014arXivOpen access
Dimbinirina RamarimbahoakaZhe YangRobert J. Elliott
math.PR
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Open access3 authors1 topic
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
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Dimbinirina RamarimbahoakaZhe YangRobert J. Elliott

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