The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
type: Item
instance of: scholarly article
title: The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
zbMATH Open document ID: 1185.49029
author: Bruno Bouchard
author: Thanh Nam Vu
published in: Applied Mathematics and Optimization
publication date: 2010-04-20T00:00:00Z
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 5695468
zbMATH Keywords: stochastic target problem
zbMATH Keywords: discontinuous viscosity solutions
zbMATH Keywords: American options
MaRDI profile type: Publication
full work available at URL: s00245-009-9084-y
OpenAlex ID: W1989376889
cites work: Q4673214
cites work: Stochastic optimal control. The discrete time case
cites work: Stochastic targets with mixed diffusion processes and viscosity solutions.
cites work: Barrier Option Hedging under Constraints: A Viscosity Approach
cites work: Weak Dynamic Programming Principle for Viscosity Solutions
cites work: Stochastic Target Problems with Controlled Loss
cites work: User’s guide to viscosity solutions of second order partial differential equations
cites work: Hedging contingent claims with constrained portfolios
cites work: Super-replication in stochastic volatility models under portfolio constraints
cites work: On the pricing of contingent claims under constraints
cites work: Q4368791
cites work: A barrier option of American type
cites work: Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
cites work: Convex Analysis
cites work: Valuation of exotic options under shortselling constraints
cites work: Superreplication Under Gamma Constraints
cites work: Stochastic Target Problems, Dynamic Programming, and Viscosity Solutions
cites work: Dynamic programming for stochastic target problems and geometric flows
cites work: A stochastic representation for mean curvature type geometric flows
DOI: 10.1007/S00245-009-9084-Y
description: scientific article; zbMATH DE number 5695468