(Reflected) Backward Stochastic Differential Equations and Contingent Claims

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1999
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CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 1999/10
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urn:nbn:de:bsz:352-opus-3197
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Mathematik und Statistik
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Abstract
Abstract. We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
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330 Economics
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reflected backward stochastic differential equations,american claims,Black-Scholes,singular control,stopping
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ISO 690KOHLMANN, Michael, 1999. (Reflected) Backward Stochastic Differential Equations and Contingent Claims
BibTex
@techreport{Kohlmann1999Refle-587,
  year={1999},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={(Reflected) Backward Stochastic Differential Equations and Contingent Claims},
  number={1999/10},
  author={Kohlmann, Michael}
}
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