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Reflected BSDE with a constraint and its applications in an incomplete market 期刊论文
BERNOULLI, 2010, 卷号: 16, 期号: 3, 页码: 614-640
作者:  Peng, Shige;  Xu, Mingyu
收藏  |  浏览/下载：130/0  |  提交时间：2018/07/30
American options in an incomplete market  backward stochastic differential equation with a constraint  reflected backward stochastic differential equation  
Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing 期刊论文
OPTIMIZATION, 2008, 卷号: 57, 期号: 5, 页码: 691-703
作者:  Li, Ping;  Wang, Shou-Yang
收藏  |  浏览/下载：135/0  |  提交时间：2018/07/30
martingale measure  derivative pricing  optimal consumption  incomplete market  utility maximization