On Backward Stochastic Differential Equations Approach to Valuation of American Options
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Publication:3100574
DOI10.4064/ba59-3-8zbMath1229.91313arXiv1012.4442OpenAlexW2963211899MaRDI QIDQ3100574
Tomasz Klimsiak, Andrzej Rozkosz
Publication date: 24 November 2011
Published in: Bulletin of the Polish Academy of Sciences Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1012.4442
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
On time-dependent functionals of diffusions corresponding to divergence form operators ⋮ A new method of valuing American options based on Brownian models ⋮ On perpetual American options in a multidimensional Black–Scholes model ⋮ Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form ⋮ Valuing American options by simulation: a BSDEs approach ⋮ The early exercise premium representation for American options on multiply assets
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