Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/81507
Citations | ||
Scopus | Web of Science® | Altmetric |
---|---|---|
?
|
?
|
Type: | Journal article |
Title: | Reflected backward stochastic differential equations, convex risk measures and American options |
Author: | Elliott, R. Siu, T. |
Citation: | Stochastic Analysis and Applications, 2013; 31(6):1077-1096 |
Publisher: | Marcel Dekker Inc |
Issue Date: | 2013 |
ISSN: | 0736-2994 1532-9356 |
Statement of Responsibility: | Robert J. Elliott and Tak Kuen Siu |
Abstract: | We use convex risk measures to assess unhedged risks for American-style contingent claims in a continuous-time non-Markovian economy using reflected backward stochastic differential equations (RBSDEs). A two-stage approach is adopted to evaluate the risk. We formulate the evaluation problem as an optimal stopping-control problem and discuss the problem using reflected BSDEs. The convex risk measures are represented as solutions of RBSDEs. In the Markov case, we relate the RBSDE solutions to the unique viscosity solutions of related obstacle problems for parabolic partial differential equations. |
Keywords: | American-style contingent claims Convex risk measures Obstacle problems Optimal stopping-control problem Reflected BSDEs Viscosity solutions |
Rights: | Copyright © Taylor & Francis Group, LLC |
DOI: | 10.1080/07362994.2013.830459 |
Published version: | http://dx.doi.org/10.1080/07362994.2013.830459 |
Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.