BSDE Approach for Dynkin Game and American Game Option
DOI10.1007/978-3-319-30417-5_9zbMath1418.91063OpenAlexW2464473880MaRDI QIDQ4558896
Mohammed Hassani, El Hassan Es-Saky
Publication date: 30 November 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-30417-5_9
saddle-pointAmerican game optionDynkin gamebackward stochastic differential equations with double reflecting barriers
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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