Degenerate backward SPDEs in bounded domains and applications to barrier options
DOI10.3934/dcds.2015.35.5317zbMath1335.60110OpenAlexW2525902322MaRDI QIDQ255494
Publication date: 9 March 2016
Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcds.2015.35.5317
representation theoremoption pricingbackward stochastic partial differential equationsfirst exit times
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Local time and additive functionals (60J55)
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