Backward stochastic differential equations and nonlinear pricing Parisian (Parasian) options

DOI10.1360/012012-426zbMath1488.91137OpenAlexW2324293242MaRDI QIDQ5017798

Dongmei Guo, Bin Song, Shou-Yang Wang

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012012-426

zbMATH Keywords

partial differential equationbackward stochastic differential equationParisian optionspath dependent

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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