Affiliation:
1. Laboratory of Analysis and Applied Mathematics (LAMA), Faculty of Sciences Agadir, Ibn Zohr University, Morocco
Abstract
In this paper, we prove the existence and uniqueness of the solution to backward stochastic differential equations with lower reflecting barrier in a Brownian setting under stochastic monotonicity and general increasing growth conditions. As an application, we study the fair valuation of American options.
Publisher
World Scientific Pub Co Pte Lt
Subject
General Economics, Econometrics and Finance,Finance
Cited by
1 articles.
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