(Reflected) backward stochastic differential equations and contingent claims

Michael Kohlmann

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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Year of publication:	1999
Authors:	Kohlmann, Michael
Publisher:	[Konstanz] : [Zentrum für Finanzen und Ökonometrie, Universität Konstanz]
Subject:	reflected backward stochastic differential equations \| american claims \| Black-Scholes \| singular control \| stopping \| Analysis \| Mathematical analysis \| Stochastischer Prozess \| Stochastic process \| Kontrolltheorie \| Control theory \| Suchtheorie \| Search theory \| Optionspreistheorie \| Option pricing theory \| Black-Scholes-Modell \| Black-Scholes model \| Theorie \| Theory

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Erscheint auch als (Druck-Ausgabe):

Kohlmann, Michael *1947-*. (Reflected) backward stochastic differential equations and contingent claims. - Konstanz : Univ., Center of Finance and Econometrics, 1999. - 15 S

Persistent link: https://www.econbiz.de/10011544985