Pages that link to "Item:Q964746"

The following pages link to The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints (Q964746):

Displaying 8 items.

• Optimal control versus stochastic target problems: an equivalence result (Q414574) (← links)
• A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options (Q1630416) (← links)
• Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation (Q1936827) (← links)
• A framework for the dynamic programming principle and martingale-generated control correspondences (Q2041004) (← links)
• American options in nonlinear markets (Q2042845) (← links)
• On the controller-stopper problems with controlled jumps (Q2318101) (← links)
• A Backward Dual Representation for the Quantile Hedging of Bermudan Options (Q2808185) (← links)
• Optimal stopping with expectation constraints (Q6126790) (← links)