American options in nonlinear markets
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Publication:2042845
DOI10.1214/21-EJP658zbMath1484.91479MaRDI QIDQ2042845
Marek Rutkowski, Tianyang Nie, Edward D. Kim
Publication date: 21 July 2021
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales ⋮ Generalized BSDE and reflected BSDE with random time horizon
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