17 citations · 17 across the 2 of their papers we have counts for
2 papers
q-fin.PR2010
BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
Łukasz Delong
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending…
q-fin.PR2010★ 17 cited
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management
Lukasz Delong
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in f…