首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Reflected Backward Stochastic Differential Equations,Convex Risk Measures and American Options
Authors:Robert J Elliott  Tak Kuen Siu
Institution:1. School of Mathematical Sciences , University of Adelaide , South Australia , Australia;2. Haskayne School of Business , University of Calgary , Calgary , Alberta , Canada relliott@ucalgary.ca;4. Cass Business School , City University London , London , UK;5. Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics , Macquarie University , Sydney , New South Wales , Australia
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
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号