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Reflected Bsdes With Stochastic Monotone Generator And Application To Valuing American Options

Author

Listed:
  • MOHAMED MARZOUGUE

    (Laboratory of Analysis and Applied Mathematics (LAMA), Faculty of Sciences Agadir, Ibn Zohr University, Morocco)

Abstract

In this paper, we prove the existence and uniqueness of the solution to backward stochastic differential equations with lower reflecting barrier in a Brownian setting under stochastic monotonicity and general increasing growth conditions. As an application, we study the fair valuation of American options.

Suggested Citation

  • Mohamed Marzougue, 2020. "Reflected Bsdes With Stochastic Monotone Generator And Application To Valuing American Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(05), pages 1-26, August.
    • Handle: RePEc:wsi:ijtafx:v:23:y:2020:i:05:n:s021902492050034x
    DOI: 10.1142/S021902492050034X
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