Publikation: (Reflected) Backward Stochastic Differential Equations and Contingent Claims
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1999
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Kohlmann, Michael
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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.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
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reflected backward stochastic differential equations, american claims, Black-Scholes, singular control, stopping
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KOHLMANN, Michael, 1999. (Reflected) Backward Stochastic Differential Equations and Contingent ClaimsBibTex
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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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