Pricing of American Contingent Claims with Jump Stock Price and Constrained Portfolios

DOI10.1287/moor.23.1.177zbMath0985.91026OpenAlexW2140246586MaRDI QIDQ2757529

Rainer Buckdahn, Ying Hu

Publication date: 26 November 2001

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.23.1.177

zbMATH Keywords

stock pricebackward stochastic differential equationAmerican contingent claimshedging price

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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