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20132025
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math.PR2013

Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps

Giulia Di Nunno, Asma Khedher, Michele Vanmaele

We consider a backward stochastic differential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximation…