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Hedging options for a large investor and forward-backward SDE's

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References

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1992Stochastic Differential Utility1,165 cited
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1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
2014Stochastic Integration and Differential Equations : A New Approach

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686 cited

1991Probabilistic interpretation for systems of quasilinear parabolic partial differential equations518 cited

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2015On well-posedness of forward–backward SDEs—A unified approach151 cited
1997Non-linear pricing theory and backward stochastic differential equations150 cited
1998Perfect option hedging for a large trader145 cited
2012A DYSFUNCTIONAL ROLE OF HIGH FREQUENCY TRADING IN ELECTRONIC MARKETS143 cited
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2009The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information129 cited
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2014Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance123 cited
2002Stochastic target problems, dynamic programming, and viscosity solutions121 cited
2006Numerical Algorithms for Forward-Backward Stochastic Differential Equations111 cited