Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints (Q5320740)
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scientific article; zbMATH DE number 5582094
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints |
scientific article; zbMATH DE number 5582094 |
Statements
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints (English)
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22 July 2009
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reflected diffusion
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Skorokhod problem
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viscosity solutions
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barrier option
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portfolio constraints
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0.7884289622306824
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0.7657928466796875
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0.7593299746513367
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0.7539145946502686
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