American options in nonlinear markets

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales ⋮ Generalized BSDE and reflected BSDE with random time horizon

Cites Work

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