The application of backward stochastic differential equation with stopping time in hedging American contingent claims (Q603497): Difference between revisions

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+https://doi.org/10.1016/j.chaos.2009.03.170
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+W1995099426
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@@ Property / cites work @@
+On the theory of option pricing
@@ Property / cites work: On the theory of option pricing / rank @@
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+On the pricing of American options
@@ Property / cites work: On the pricing of American options / rank @@
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+Hedging American contingent claims with constrained portfolios
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+Hedging American contingent claims with arbitrage costs
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+Adapted solution of a backward stochastic differential equation
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+Backward Stochastic Differential Equations in Finance
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+Backward stochastic differential equations with constraints on the gains-process
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+Hedging American contingent claims with constrained portfolios under proportional transaction costs
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