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The Domination for Evaluation of the Contingent Claims by Nonlinear Generator |
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| Authors: | HE Kun YAN Li-tan HU Liang-jian |
| Institution: | College of Science, Donghua University, Shanghai 201620, China |
| Abstract: | In this paper,through applying the result of backward stochastic differential equations,it investigates a domination for pricing of the contingent claims by the use of nonlinear infinitesimal generator of process X. This domination provides a guide for valuing the price of the position on the financial market. |
| Keywords: | backzoard stochastic differential equations g-evaluation contingent claims infinitesimal generator |
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