The Obstacle Version of the Geometric Dynamic Programming Principle: Application to the Pricing of American Options Under Constraints-Reference-Cited by-同舟云学术

The Obstacle Version of the Geometric Dynamic Programming Principle: Application to the Pricing of American Options Under Constraints

Published:2009-07-18 Issue:2 Volume:61 Page:235-265
ISSN:0095-4616
Container-title:Applied Mathematics and Optimization
language:en
Short-container-title:Appl Math Optim

Author:

Bouchard Bruno,Vu Thanh Nam

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Control and Optimization

Link

http://link.springer.com/content/pdf/10.1007/s00245-009-9084-y.pdf

Reference24 articles.

1. Barles, G.: Solutions de Viscosité des Equations d’Hamilton-Jacobi. Springer, Berlin (1994)

2. Bensoussan, A., Touzi, N., Menaldi, J.-L.: Penalty approximation and analytical characterization of the problem of super-replication under portfolio constraints. Asymptot. Anal. 41, 311–330 (2005)

3. Mathematics in Science and Engineering;D.P. Bertsekas,1978

4. Bouchard, B.: Stochastic Target with Mixed diffusion processes. Stoch. Process. Appl. 101, 273–302 (2002)

5. Bouchard, B., Bentahar, I.: Barrier option hedging under constraints: a viscosity approach. SIAM J. Control Optim. 45(5), 1846–1874 (2006)

Cited by 24 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stochastic control/stopping problem with expectation constraints;Stochastic Processes and their Applications;2024-10

2. Optimal stopping with expectation constraints;The Annals of Applied Probability;2024-02-01

3. Minimum curvature flow and martingale exit times;Electronic Journal of Probability;2024-01-01

4. American options in nonlinear markets;Electronic Journal of Probability;2021-01-01

5. A Framework for the Dynamic Programming Principle and Martingale-Generated Control Correspondences;Applied Mathematics & Optimization;2019-06-20