Leitner, Johannes - In: Statistics & Decisions 25 (2007) 4, pp. 311-332
Summary Using a backward stochastic differential equation (BSDE) approach in a Brownian motion setting, we determine in an incomplete market an initial price Y 0 for a non-attainable claim ξ ∈ L p , 1 p ∞, that takes the hedging risk into account. Y 0 is chosen to be the best price such...