American options in nonlinear markets (Q2042845)

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American options in nonlinear markets
scientific article

    Statements

    title
    American options in nonlinear markets (English)
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    author
    Tianyang Nie
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    Marek Rutkowski
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    publication date
    21 July 2021
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    zbMATH Keywords
    American option
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    nonlinear evaluation
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    nonlinear market
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    reflected BSDE
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    Identifiers

    DOI
    10.1214/21-EJP658
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    Mathematics Subject Classification ID
    91G20
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    60G40
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    60H30
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    zbMATH DE Number
    7373513
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