The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
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Publication:964746
DOI10.1007/s00245-009-9084-yzbMath1185.49029OpenAlexW1989376889MaRDI QIDQ964746
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
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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