Swing Options Valuation: A BSDE with Constrained Jumps Approach-Reference-Cited by-同舟云学术

Swing Options Valuation: A BSDE with Constrained Jumps Approach

Published:2012 Issue: Volume: Page:379-400
ISSN:2190-5614
Container-title:Springer Proceedings in Mathematics
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Author:

Bernhart Marie,Pham Huyên,Tankov Peter,Warin Xavier

Publisher

Springer Berlin Heidelberg

Link

http://link.springer.com/content/pdf/10.1007/978-3-642-25746-9_12.pdf

Reference27 articles.

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3. B. Bouchard and R. Elie: Discrete-time approximation of decoupled forward-backward SDE with jumps. Stochastic Processes and their Applications, 118(1), 53–75 (2008)

4. A. Bensoussan and J.-L. Lions: Impulse control and quasi-variational inequalities. Gauthier-Villars (1984)

5. B. Bouchard and N. Touzi: Discrete-Time Approximation and Monte-Carlo Simulation of Backward Stochastic Differential Equations. Stochastic Processes and their applications, 111(2), 175–206 (2004)

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