(Reflected) Backward Stochastic Differential Equations and Contingent Claims

Kohlmann, Michael

(Reflected) Backward Stochastic Differential Equations and Contingent Claims

Dateien

319_1.pdfGröße: 194.45 KBDownloads: 188

Datum

1999

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Mathematik und Statistik

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

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.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

reflected backward stochastic differential equations, american claims, Black-Scholes, singular control, stopping

Zitieren

ISO 690

KOHLMANN, 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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