REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS
DOI10.1142/S021902492050034XzbMath1457.91386OpenAlexW3035803187MaRDI QIDQ5148000
Publication date: 29 January 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902492050034x
penalization methodstochastic monotonicityreflected backward stochastic differential equationsstochastic Lipschitz
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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