Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/81507
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DC Field | Value | Language |
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dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Siu, T. | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Stochastic Analysis and Applications, 2013; 31(6):1077-1096 | - |
dc.identifier.issn | 0736-2994 | - |
dc.identifier.issn | 1532-9356 | - |
dc.identifier.uri | http://hdl.handle.net/2440/81507 | - |
dc.description.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. | - |
dc.description.statementofresponsibility | Robert J. Elliott and Tak Kuen Siu | - |
dc.language.iso | en | - |
dc.publisher | Marcel Dekker Inc | - |
dc.rights | Copyright © Taylor & Francis Group, LLC | - |
dc.source.uri | http://dx.doi.org/10.1080/07362994.2013.830459 | - |
dc.subject | American-style contingent claims | - |
dc.subject | Convex risk measures | - |
dc.subject | Obstacle problems | - |
dc.subject | Optimal stopping-control problem | - |
dc.subject | Reflected BSDEs | - |
dc.subject | Viscosity solutions | - |
dc.title | Reflected backward stochastic differential equations, convex risk measures and American options | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1080/07362994.2013.830459 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest 4 Mathematical Sciences publications |
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