REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS

DOI10.1142/S021902492050034XzbMath1457.91386OpenAlexW3035803187MaRDI QIDQ5148000

Mohamed Marzougue

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902492050034x

zbMATH Keywords

penalization methodstochastic monotonicityreflected backward stochastic differential equationsstochastic Lipschitz

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Reflected generalized BSDE with jumps under stochastic conditions and an obstacle problem for integral-partial differential equations with nonlinear Neumann boundary conditions

Cites Work

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• Backward Stochastic Differential Equations in Finance
• Reflected backward stochastic differential equations under monotonicity and general increasing growth conditions
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