Degenerate backward SPDEs in bounded domains and applications to barrier options
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T14:27:51Z | |
| dc.date.available | 2017-01-30T14:27:51Z | |
| dc.date.created | 2015-05-22T08:32:22Z | |
| dc.date.issued | 2015 | |
| dc.identifier.citation | Dokuchaev, N. 2015. Degenerate backward SPDEs in bounded domains and applications to barrier options. Discrete and Continuous Dynamical Systems. 35 (11): pp. 5317-5334. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/38914 | |
| dc.identifier.doi | 10.3934/dcds.2015.35.5317 | |
| dc.description.abstract |
Backward stochastic partial differential equations of parabolic type in bounded domains are studied in the setting where the coercivity condition is not necessary satisfied. Generalized solutions based on the representation theorem are suggested. Some regularity is derived from the regularity of the first exit times of non-Markov characteristic processes. Uniqueness, solvability and regularity results are obtained. Applications to pricing and hedging of European barrier options are considered. | |
| dc.publisher | American Institute of Mathematical Sciences | |
| dc.subject | backward SPDEs | |
| dc.subject | option pricing | |
| dc.subject | degenerate SPDEs | |
| dc.subject | SPDEs in domains | |
| dc.subject | first exit times | |
| dc.subject | representation theorem | |
| dc.title | Degenerate backward SPDEs in bounded domains and applications to barrier options | |
| dc.type | Journal Article | |
| dcterms.source.volume | 35 | |
| dcterms.source.number | 11 | |
| dcterms.source.startPage | 5317 | |
| dcterms.source.endPage | 5334 | |
| dcterms.source.issn | 10780947 | |
| dcterms.source.title | Discrete and Continuous Dynamical Systems Series A (DCDS-A) | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Open access |