Extensions

Stéphane Crépey
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Stéphane Crépey: Université d’Evry Val d’Essone

Chapter Chapter 14 in Financial Modeling, 2013, pp 369-387 from Springer

Abstract: Abstract Have you ever seen a financial contract which only pays one single cash-flow at a terminal maturity T? There are some (I heard “vanillas”!), but not so many. Ever seen a continuous-time coupon stream? I’d be surprised. More broadly, to account for many real-life practical features such as discrete dividends or discrete path-dependence, we need to extend the theory a little bit. With this motivation, in this chapter, we provide various extensions to the BSDE and PDE results of Chaps. 12 and 13 . First we deal with discrete dividends on a financial derivative or an underlying asset. Then we extend the results of the previous chapters to more general reflected BSDEs that appear in the case of intermittent call protection in Chap. 10 .

Keywords: Viscosity Solution; Price Process; Price Function; Underlying Asset; Present Setup (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-642-37113-4_14

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DOI: 10.1007/978-3-642-37113-4_14

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