2 papers
math.PR2023
Picard Approximation and Martingale Integrand Estimation for Path-Dependent FBSDEs
Jiuk Jang, Hyungbin Park
This paper develops a Picard iteration method for path-dependent forward-backward stochastic differential equations (FBSDEs). We construct a Picard iteration scheme, prove its conv…
q-fin.MF2019
Hedging short-maturity Asian options in local volatility models
Jiuk Jang, Jaehyun Kim, Hyungbin Park +1
This paper discusses the short-maturity behavior of Asian option prices and hedging portfolios. We consider the risk-neutral valuation and the delta value of the Asian option havin…