most citedExplicit solutions of quadratic FBSDEs arising from quadratic term structure models

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q-fin.MF2014★ 1 cited

Explicit solutions of quadratic FBSDEs arising from quadratic term structure models

Cody Hyndman, Xinghua Zhou

We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic te…