Doubly reflected BSDEs with call protection and their approximation

DOI10.1051/PS/2013047zbMATH Open1304.93078OpenAlexW2149655275MaRDI QIDQ5174372FDOQ5174372

Authors: Jean-Francois Chassagneux, Stéphane Crépey 

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.esaim-ps.org/10.1051/ps/2013047/pdf

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zbMATH Keywords

variational inequalitiesdiscrete-time approximationgame optioncall protectionreflected backward stochastic differential equations (BSDEs)

Mathematics Subject Classification ID

Stochastic programming (90C15) Variational inequalities (49J40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linearizations (93B18) Optimal stochastic control (93E20)

Cited In (1)

• Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

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