PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS

DOI10.1142/S0219024923300019MaRDI QIDQ6119768zbMATH OpenOpenAlexFDO

Authors Mohamed El Jamali, Hatim Tayeq

Publication date 20 February 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024923300019

zbMATH Keywords

American optionsnondeterministic Lipschitznormal martingalepartial differential equationsreflected BSDEs

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A stochastic calculus model of continuous trading: Complete markets
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with jumps and related nonlinear expectations
• BSDE with rcll reflecting barrier driven by a Lévy process
• BSDEs driven by normal martingale
• Hedging in complete markets driven by normal martingales
• scientific article; zbMATH DE number 1069627 (Why is no real title available?)
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• PDE models for American options with counterparty risk and two stochastic factors: mathematical analysis and numerical solution
• Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
• Reflected backward stochastic differential equation with jumps and RCLL obstacle
• Reflected BSDE driven by a Lévy process
• Reflected BSDEs driven by inhomogeneous simple Lévy processes with rcll barrier
• Reflected BSDEs with regulated trajectories

Cited in

(1)

• Contributions to American game options and PDEs in the context of doubly reflected BSDEs driven by normal martingales

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