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Suchtheorie
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backward semimartingale equations
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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael
-
1999
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.
Persistent link: https://www.econbiz.de/10011544985
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(Reflected) backward stochastic differential equations and contingent claims
Kohlmann, Michael
-
1999
Persistent link: https://www.econbiz.de/10001387121
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(Reflected) Backward Stochastic Differential Equations and Contingent Claims
Kohlmann, Michael
-
1999
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.
Persistent link: https://www.econbiz.de/10010324095
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