Degenerate backward SPDEs in bounded domains and applications to barrier options (Q255494)
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scientific article; zbMATH DE number 6552473
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| English | Degenerate backward SPDEs in bounded domains and applications to barrier options |
scientific article; zbMATH DE number 6552473 |
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Degenerate backward SPDEs in bounded domains and applications to barrier options (English)
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9 March 2016
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backward stochastic partial differential equations
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representation theorem
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first exit times
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option pricing
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0.8479127287864685
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0.8477337956428528
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0.8018478751182556
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0.7908347249031067
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