Reflected BSDE Driven by a Lévy Process
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DOI: 10.1007/s10959-009-0229-3
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- Royer, Manuela, 2006. "Backward stochastic differential equations with jumps and related non-linear expectations," Stochastic Processes and their Applications, Elsevier, vol. 116(10), pages 1358-1376, October.
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Keywords
Reflected BSDEs; Teugels martingales; Lévy market model; American option;All these keywords.
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