Doubly reflected BSDEs with call protection and their approximation (Q5174372)
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scientific article; zbMATH DE number 6405010
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Doubly reflected BSDEs with call protection and their approximation |
scientific article; zbMATH DE number 6405010 |
Statements
Doubly reflected BSDEs with call protection and their approximation (English)
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17 February 2015
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reflected backward stochastic differential equations (BSDEs)
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variational inequalities
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discrete-time approximation
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game option
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call protection
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