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- W4298092472 abstract "We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a way that it is optimal to meet an exogenous demand. We show that the prices are stable under the demand process and derive their analytic expansions for small risk aversion coefficients of the dealer." @default.
- W4298092472 created "2022-10-01" @default.
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- W4298092472 date "2014-10-22" @default.
- W4298092472 modified "2023-10-14" @default.
- W4298092472 title "Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model" @default.
- W4298092472 doi "https://doi.org/10.48550/arxiv.1410.6144" @default.
- W4298092472 hasPublicationYear "2014" @default.
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