Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints (Q5320740)
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scientific article; zbMATH DE number 5582094
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints |
scientific article; zbMATH DE number 5582094 |
Statements
Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints (English)
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22 July 2009
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reflected diffusion
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Skorokhod problem
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viscosity solutions
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barrier option
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portfolio constraints
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