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PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS - MaRDI portal

PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS (Q6119768)

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scientific article; zbMATH DE number 7806893
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English
PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS
scientific article; zbMATH DE number 7806893

    Statements

    title
    PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS (English)
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    author
    Mohamed El Jamali
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    Hatim Tayeq
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    publication date
    20 February 2024
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    zbMATH Keywords
    reflected BSDEs
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    normal martingale
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    nondeterministic Lipschitz
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    American options
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    partial differential equations
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60H15
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    60G48
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    zbMATH DE Number
    7806893
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    OpenAlex ID
    W4388638969
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