(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.

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Year of publication:	1999
Authors:	Kohlmann, Michael
Publisher:	Konstanz : University of Konstanz, Center of Finance and Econometrics (CoFE)
Subject:	Analysis \| Stochastischer Prozess \| Kontrolltheorie \| Suchtheorie \| Optionspreistheorie \| Black-Scholes-Modell \| Theorie

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Series:	CoFE Discussion Paper ; 99/10
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	870166328 [GVK] hdl:10419/85230 [Handle] RePEc:zbw:cofedp:9910 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010324095