Reflected BSDEs with stochastic monotone generator and application to valuing American options
Mohamed Marzougue
| Year of publication: |
2020
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|---|---|
| Authors: | Marzougue, Mohamed |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 5, p. 1-26
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| Subject: | Reflected backward stochastic differential equations | stochastic monotonicity | stochastic Lipschitz | penalization method | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Analysis | Mathematical analysis |