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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 99/10
- Klassifikation
-
Wirtschaft
- Thema
-
Analysis
Stochastischer Prozess
Kontrolltheorie
Suchtheorie
Optionspreistheorie
Black-Scholes-Modell
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kohlmann, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
1999
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-3197
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Kohlmann, Michael
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 1999
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