scientific article; zbMATH DE number 953314

MaRDI QIDQ4718262zbMATH OpenFDO

Authors Jerzy Zabczyk

Publication date 10 June 1997

zbMATH Keywords

stochastic invariancestochastic controllabilityEuropean and American optionsfair prices

Mathematics Subject Classification ID

Controllability (93B05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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• A dynamic programming approach for pricing CDS and CDS options
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• A direct solution method for pricing options involving the maximum process
• Diffusion approximation for average investor's income with loss risk
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• Pricing Options With Curved Boundaries¹

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