Arbeitspapier
(Reflected) Backward Stochastic Differential Equations and Contingent Claims
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: CoFE Discussion Paper ; No. 99/10
- Classification
-
Wirtschaft
- Subject
-
Analysis
Stochastischer Prozess
Kontrolltheorie
Suchtheorie
Optionspreistheorie
Black-Scholes-Modell
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Kohlmann, Michael
- Event
-
Veröffentlichung
- (who)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
-
Konstanz
- (when)
-
1999
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-3197
- Last update
- 10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kohlmann, Michael
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 1999
Other Objects (12)
(Reflected) Backward Stochastic Differential Equations and Contingent Claims
Sequential Systems of Reflected Backward Stochastic Differential Equations with Application to Impulse Control
Reflected Anticipated Backward Stochastic Differential Equations with Default Risk, Numerical Algorithms and Applications
Forward-reflected-backward method with variance reduction
Rationalizing Constrained Contingent Claims
Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk
Model risk of contingent claims
Nonparametric pricing of multivariate contingent claims
Parametric Rules for State Contingent Claims
P10.06: is the Backward Reflected Wave Detrimental to Left Ventricle Performance?
Application of contingent claims analysis in finance
Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective
(Reflected) Backward Stochastic Differential Equations and Contingent Claims
Sequential Systems of Reflected Backward Stochastic Differential Equations with Application to Impulse Control
Reflected Anticipated Backward Stochastic Differential Equations with Default Risk, Numerical Algorithms and Applications
Forward-reflected-backward method with variance reduction
Rationalizing Constrained Contingent Claims
Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk
Model risk of contingent claims
Nonparametric pricing of multivariate contingent claims
Parametric Rules for State Contingent Claims
P10.06: is the Backward Reflected Wave Detrimental to Left Ventricle Performance?
Application of contingent claims analysis in finance
Backward Stochastic Differential Equations and Stochastic Controls: A New Perspective
(Reflected) Backward Stochastic Differential Equations and Contingent Claims
Sequential Systems of Reflected Backward Stochastic Differential Equations with Application to Impulse Control
Reflected Anticipated Backward Stochastic Differential Equations with Default Risk, Numerical Algorithms and Applications
Forward-reflected-backward method with variance reduction
Rationalizing Constrained Contingent Claims
Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk
Model risk of contingent claims
Nonparametric pricing of multivariate contingent claims
Parametric Rules for State Contingent Claims
P10.06: is the Backward Reflected Wave Detrimental to Left Ventricle Performance?
Application of contingent claims analysis in finance