Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios

DOI10.1287/MOOR.23.1.177zbMath0985.91026OpenAlexW2140246586MaRDI QIDQ2757529

Rainer Buckdahn, Ying Hu

Publication date: 26 November 2001

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.23.1.177

zbMATH Keywords

stock pricebackward stochastic differential equationAmerican contingent claimshedging price

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (10)

Multi-dimensional BSDEs with mean reflection ⋮ Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation ⋮ Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations ⋮ An integer programming model for pricing American contingent claims under transaction costs ⋮ REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS ⋮ BSDEs with mean reflection ⋮ Quadratic BSDEs with mean reflection ⋮ BSDEs with mean reflection driven by \(G\)-Brownian motion ⋮ Backward stochastic differential equations with constraints on the gains-process ⋮ Well-posedness of mean reflected BSDEs with non-Lipschitz coefficients

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