(Reflected) Backward Stochastic Differential Equations and Contingent Claims

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KOHLMANN, Michael, 1999. (Reflected) Backward Stochastic Differential Equations and Contingent Claims

@techreport{Kohlmann1999(Refl-587, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={(Reflected) Backward Stochastic Differential Equations and Contingent Claims}, year={1999}, number={1999/10}, author={Kohlmann, Michael} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/587"> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:09Z</dc:date> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/587"/> <dcterms:issued>1999</dcterms:issued> <dc:format>application/pdf</dc:format> <dc:creator>Kohlmann, Michael</dc:creator> <dc:rights>deposit-license</dc:rights> <dc:contributor>Kohlmann, Michael</dc:contributor> <dc:language>eng</dc:language> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:09Z</dcterms:available> <dcterms:title>(Reflected) Backward Stochastic Differential Equations and Contingent Claims</dcterms:title> <dcterms:abstract xml:lang="eng">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.</dcterms:abstract> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> </rdf:Description> </rdf:RDF>

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