Second order reflected backward stochastic differential equations

DOI10.1214/12-AAP906zbMath1303.60049arXiv1201.0746MaRDI QIDQ389069

Anis Matoussi, Chao Zhou, Dylan Possamaï

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.0746

zbMATH Keywords

American options; second-order reflected backward; stochstic differential equations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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

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

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