A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS (Q5283407)
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scientific article; zbMATH DE number 6751210
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS |
scientific article; zbMATH DE number 6751210 |
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A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS (English)
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21 July 2017
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first-order backward stochastic partial differential equation
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optimal stopping
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stochastic optimal control
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swing options
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pathwise differential inclusion
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dual minimization problem
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