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Paper / 2024SMQ / 182099423140999
Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
S. Alsheyab / T. Choulli
stochastic calculus / stochastic differential equationsResource overview

Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon

Paper2024

by S. Alsheyab, T. Choulli

Tags
stochastic calculusstochastic differential equationsstochastic processes

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  1. Conditional Expectation

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  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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