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Publication:2978456
zbMath1360.65032MaRDI QIDQ2978456
Soufiane Aazizi, Youssef Ouknine
Publication date: 25 April 2017
Full work available at URL: http://www.jnmas.org/jnmas3-10.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
penalizationAmerican optionDynkin gamebackward SDEsSnell envelopereflecting barrierportfolio constraintMokobodski's hypothesis
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
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