Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints

DOI10.1137/070697161MaRDI QIDQ5320740zbMATH OpenOpenAlexFDO

Authors Bruno Bouchard

Publication date 22 July 2009

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://basepub.dauphine.fr/handle/123456789/1930

zbMATH Keywords

viscosity solutionsbarrier optionreflected diffusionSkorokhod problemportfolio constraints

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic processes (60G99)

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Cited in

(5)

• First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers
• Barrier Option Hedging under Constraints: A Viscosity Approach
• Optimal pricing barriers in a regulated market using reflected diffusion processes
• Some applications of linear programming formulations in stochastic control
• A semi-Lagrangian scheme for Hamilton-Jacobi-Bellman equations with oblique derivatives boundary conditions

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