The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints

DOI10.1007/s00245-009-9084-yzbMath1185.49029OpenAlexW1989376889MaRDI QIDQ964746

Bruno Bouchard, Thanh Nam Vu

Publication date: 20 April 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-009-9084-y

zbMATH Keywords

American optionsstochastic target problemdiscontinuous viscosity solutions

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (10)

A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options ⋮ PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT ⋮ Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation ⋮ Optimal stopping with expectation constraints ⋮ Optimal control versus stochastic target problems: an equivalence result ⋮ A framework for the dynamic programming principle and martingale-generated control correspondences ⋮ American options in nonlinear markets ⋮ A Backward Dual Representation for the Quantile Hedging of Bermudan Options ⋮ On the controller-stopper problems with controlled jumps ⋮ Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints

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