The application of backward stochastic differential equation with stopping time in hedging American contingent claims
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Publication:603497
DOI10.1016/j.chaos.2009.03.170zbMath1198.91216OpenAlexW1995099426WikidataQ115359288 ScholiaQ115359288MaRDI QIDQ603497
Publication date: 8 November 2010
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2009.03.170
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
- Adapted solution of a backward stochastic differential equation
- On the theory of option pricing
- On the pricing of American options
- Backward stochastic differential equations with constraints on the gains-process
- Hedging American contingent claims with constrained portfolios
- Hedging American contingent claims with constrained portfolios under proportional transaction costs
- Hedging American contingent claims with arbitrage costs
- Backward Stochastic Differential Equations in Finance
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