On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options (Q2940751): Difference between revisions
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Revision as of 09:05, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options |
scientific article |
Statements
On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options (English)
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20 January 2015
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controller-stopper problems
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jump processes
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reflected backward stochastic differential equations
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Brownian motion
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decomposition
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indifference pricing
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American options
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