BSDE with rcll reflecting barrier driven by a Lévy process
Volume: 28, Issue: 1, Pages: 63 - 77
Published: Feb 5, 2020
Abstract
In this paper, we study the solution of a backward stochastic differential equation driven by a Lévy process with one rcll reflecting barrier. We show the existence and uniqueness of a solution by means of the penalization method when the coefficient is stochastic Lipschitz. As an application, we give a fair price of an American...
Paper Details
Title
BSDE with rcll reflecting barrier driven by a Lévy process
Published Date
Feb 5, 2020
Volume
28
Issue
1
Pages
63 - 77
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