Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options

DOI10.1080/07362994.2013.830459zbMath1343.60093OpenAlexW2044270925MaRDI QIDQ5746994

Tak Kuen Siu, Robert J. Elliott

Publication date: 11 February 2014

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2013.830459

zbMATH Keywords

obstacle problemsviscosity solutionsconvex risk measuresreflected backward stochastic differential equationsAmerican-style contingent claimsoptimal stopping-control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items

Backward stochastic difference equations for dynamic convex risk measures on a binomial tree ⋮ A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

Cites Work

• A PDE approach for risk measures for derivatives with regime switching
• On the pricing of American options
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Convex measures of risk and trading constraints
• Risk measures via \(g\)-expectations
• Coherent Measures of Risk
• COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
• The Optimal Control of a Stochastic System
• A PDE approach to risk measures of derivatives
• Bayesian Risk Measures for Derivatives via Random Esscher Transform