Doubly reflected BSDEs with call protection and their approximation

DOI10.1051/PS/2013047MaRDI QIDQ5174372zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

call protectiondiscrete-time approximationgame optionreflected backward stochastic differential equations (BSDEs)variational inequalities

Mathematics Subject Classification ID

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

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(1)

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

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