Doubly reflected BSDEs with call protection and their approximation
type: Item
instance of: scholarly article
title: Doubly reflected BSDEs with call protection and their approximation
zbMATH Open document ID: 1304.93078
author: Jean-Francois Chassagneux
author: Stéphane Crépey
published in: ESAIM: Probability and Statistics
publication date: 2015-02-17T00:00:00Z
full work available at URL: http://www.esaim-ps.org/10.1051/ps/2013047/pdf
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93B18
Mathematics Subject Classification ID: 49J40
zbMATH DE Number: 6405010
zbMATH Keywords: reflected backward stochastic differential equations (BSDEs)
zbMATH Keywords: variational inequalities
zbMATH Keywords: discrete-time approximation
zbMATH Keywords: game option
zbMATH Keywords: call protection
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2149655275
DOI: 10.1051/PS/2013047
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