Convexity bounds for BSDE solutions, with applications to indifference valuation

• 成果类型: Article
• 署名作者: Frei, Christoph; Malamud, Semyon; Schweizer, Martin
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich; Institut Polytechnique de Paris; Ecole Polytechnique; Swiss Finance Institute (SFI); Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/s00440-010-0273-z
• 发表日期: 2011
• 页码: 219-255
• 关键词: STOCHASTIC DIFFERENTIAL-EQUATIONS

摘要

We consider backward stochastic differential equations (BSDEs) with a particular quadratic generator and study the behaviour of their solutions when the probability measure is changed, the filtration 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 indifference valuation in a multidimensional It process setting.