PDEs FOR REFLECTED BSDENMs APPLIED TO AMERICAN OPTIONS

Mohamed El Jamali and Hatim Tayeq ()
Additional contact information
Mohamed El Jamali: Laboratory of Intelligent Systems and Applications (LSIA), EMSI Tangier, Morocco
Hatim Tayeq: MAE2D Laboratory, FPL, Abdelmalek Essaadi University, Tetouan, Morocco

International Journal of Theoretical and Applied Finance (IJTAF), 2023, vol. 26, issue 06n07, 1-22

Abstract: This paper studies the solution of a backward stochastic differential equation driven by normal martingale (BSDENM for short) with a right continuous and left limited lower obstacle (rcll for short) assuming a nondeterministic Lipschitz condition. We prove the existence and uniqueness of the solution via penalization methods with the help of the monotonic limit theorem and the Snell envelope theory. As for application, we discuss the fair valuation of American options and the connection between reflected BSDENM and partial differential equations (PDEs for short).

Keywords: Reflected BSDEs; normal martingale; nondeterministic Lipschitz; American options; partial differential equations (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024923300019
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:26:y:2023:i:06n07:n:s0219024923300019

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024923300019

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 ().