BSDE approach for Dynkin game and American game option (Q4558896)
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scientific article; zbMATH DE number 6987221
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| default for all languages | No label defined |
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| English | BSDE approach for Dynkin game and American game option |
scientific article; zbMATH DE number 6987221 |
Statements
BSDE Approach for Dynkin Game and American Game Option (English)
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30 November 2018
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backward stochastic differential equations with double reflecting barriers
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Dynkin game
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saddle-point
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American game option
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0.8660571575164795
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0.8455227017402649
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0.8323286175727844
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0.8321442604064941
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