Backward stochastic differential equation on hedging American contingent claims

DOI10.3390/MCA15050895zbMath1219.60060OpenAlexW2183774375WikidataQ115220960 ScholiaQ115220960MaRDI QIDQ629606

Bo Wang, Ruili Song

Publication date: 9 March 2011

Published in: Mathematical \& Computational Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/mca15050895

zbMATH Keywords

backward stochastic differential equationAmerican contingent claim

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

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