American options in nonlinear markets

DOI10.1214/21-EJP658zbMath1484.91479MaRDI QIDQ2042845

Marek Rutkowski, Tianyang Nie, Edward D. Kim

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

zbMATH Keywords

American option; reflected BSDE; nonlinear evaluation; nonlinear market

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)