(Reflected) Backward Stochastic Differential Equations and Contingent Claims

Michael Kohlmann

No 99/10, CoFE Discussion Papers from University of Konstanz, Center of Finance and Econometrics (CoFE)

Abstract: 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.

Date: 1999
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