EconPapers    
Economics at your fingertips  
 

REFLECTED BSDES WITH STOCHASTIC MONOTONE GENERATOR AND APPLICATION TO VALUING AMERICAN OPTIONS

Mohamed Marzougue ()
Additional contact information
Mohamed Marzougue: Laboratory of Analysis and Applied Mathematics (LAMA), Faculty of Sciences Agadir, Ibn Zohr University, Morocco

International Journal of Theoretical and Applied Finance (IJTAF), 2020, vol. 23, issue 05, 1-26

Abstract: In this paper, we prove the existence and uniqueness of the solution to backward stochastic differential equations with lower reflecting barrier in a Brownian setting under stochastic monotonicity and general increasing growth conditions. As an application, we study the fair valuation of American options.

Keywords: Reflected backward stochastic differential equations; stochastic monotonicity; stochastic Lipschitz; penalization method (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S021902492050034X
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:23:y:2020:i:05:n:s021902492050034x

Ordering information: This journal article can be ordered from

DOI: 10.1142/S021902492050034X

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

 
Page updated 2025-03-20
Handle: RePEc:wsi:ijtafx:v:23:y:2020:i:05:n:s021902492050034x