PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS

DOI10.1142/S0219024923300019OpenAlexW4388638969MaRDI QIDQ6119768

Mohamed El Jamali, Hatim Tayeq

Publication date: 20 February 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024923300019

zbMATH Keywords

American optionspartial differential equationsnormal martingalereflected BSDEsnondeterministic Lipschitz

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

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