On controller-stopper problems with jumps and their applications to indifference pricing of American options (Q2940751)
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scientific article
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| English | On controller-stopper problems with jumps and their applications to indifference pricing of American options |
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On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options (English)
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20 January 2015
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controller-stopper problems
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jump processes
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reflected backward stochastic differential equations
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Brownian motion
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decomposition
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indifference pricing
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American options
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0.753308117389679
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0.748969316482544
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0.7390416264533997
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0.7390416264533997
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