On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options

DOI10.1137/120903336zbMath1339.60120arXiv1212.4894OpenAlexW1984770812MaRDI QIDQ2940751

Zhou Zhou, Erhan Bayraktar

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1212.4894

zbMATH Keywords

decompositionBrownian motionAmerican optionsjump processesindifference pricingreflected backward stochastic differential equationscontroller-stopper problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items (5)

HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS ⋮ Risk-sensitive stopping problems for continuous-time Markov chains ⋮ Impact of time illiquidity in a mixed market without full observation ⋮ LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS ⋮ Utility Maximization When Shorting American Options

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