Abstract
In this paper, we study a type of reflected BSDE with a constraint and prove the existence of the smallest $g$-supersolution for this equation. We then demonstrate its applications in the pricing of American options in an incomplete market.
Citation
Shige Peng. Mingyu Xu. "Reflected BSDE with a constraint and its applications in an incomplete market." Bernoulli 16 (3) 614 - 640, August 2010. https://doi.org/10.3150/09-BEJ227
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