PDEs for reflected BSDENMs applied to American options
Mohamed El Jamali, Hatim Tayeq
| Year of publication: |
2023
|
|---|---|
| Authors: | El Jamali, Mohamed ; Tayeq, Hatim |
| Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 6/7, Art.-No. 2330001, p. 1-22
|
| Subject: | American options | nondeterministic Lipschitz | normal martingale | partial differential equations | Reflected BSDEs | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Optionsgeschäft | Option trading | Martingal | Martingale | Black-Scholes-Modell | Black-Scholes model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024923300019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014500190