In general, a comparison Lemma for the solutions of Forward-Backward Stochastic Differential Equations (FBSDE) does not hold. Here we prove one for the backward component at the initial time, relying on certain monotonicity conditions on the coefficients of both components. Such a result is...

We seek an alternative approach to produce the solution of a certain class of BFSDE's without employing the classical time restriction. In the literature there are various results about this problem, none of them implying the other. The previous methods always assume to have globally Lipschitz...

The Hobson–Rogers model is used to price derivative securities under the no-arbitrage condition in a stochastic volatility setting, preserving the completeness of the market. Here we are studying the rate of convergence of the Euler/Monte Carlo approximations, when pricing European, Asian and...