Solving the double barrier reflected BSDEs via penalization method

2016 ◽  
Vol 110 ◽  
pp. 74-83 ◽  
Author(s):  
Min Li ◽  
Yufeng Shi
Keyword(s):  
Double Barrier ◽  
Penalization Method ◽  
Reflected Bsdes

scholarly journals Stochastic Recursive Zero-Sum Differential Game and Mixed Zero-Sum Differential Game Problem

2012 ◽  
Vol 2012 ◽  
pp. 1-15
Author(s):  
Lifeng Wei ◽  
Zhen Wu
Keyword(s):  
Saddle Point ◽  
Differential Game ◽  
Stopping Time ◽  
Optimal Solution ◽  
Game Problem ◽  
Existence Results ◽  
Double Barrier ◽  
Zero Sum ◽  
Reflected Bsdes ◽  
Theoretical Results

Under the notable Issacs's condition on the Hamiltonian, the existence results of a saddle point are obtained for the stochastic recursive zero-sum differential game and mixed differential game problem, that is, the agents can also decide the optimal stopping time. The main tools are backward stochastic differential equations (BSDEs) and double-barrier reflected BSDEs. As the motivation and application background, when loan interest rate is higher than the deposit one, the American game option pricing problem can be formulated to stochastic recursive mixed zero-sum differential game problem. One example with explicit optimal solution of the saddle point is also given to illustrate the theoretical results.

scholarly journals Double barrier reflected BSDEs with stochastic Lipschitz coefficient

2017 ◽  
Vol 4 (4) ◽  
pp. 353-379 ◽  
Author(s):  
Mohamed Marzougue ◽  
Mohamed El Otmani
Keyword(s):  
Double Barrier ◽  
Reflected Bsdes

scholarly journals Non-Continuous Double Barrier Reflected BSDES With Jumps under a Stochastic Lipschitz Coefficient

2018 ◽  
Vol 12 (4) ◽  
Author(s):  
Mohamed Marzougue ◽  
Mohamed El Otmani
Keyword(s):  
Double Barrier ◽  
Reflected Bsdes

Resonant tunneling in ZnSe/BeTe double-barrier structures

1998 ◽  
Vol 184-185 (1-2) ◽  
pp. 806-809
Author(s):  
M Keim
Keyword(s):  
Resonant Tunneling ◽  
Double Barrier

Resonant tunnelling in AlInas/GaInAs double barrier diodes grown by MOCVD

1988 ◽  
Vol 24 (3) ◽  
pp. 187 ◽  
Author(s):  
P.D. Hodson ◽  
D.J. Robbins ◽  
R.H. Wallis ◽  
J.I. Davies ◽  
A.C. Marshall
Keyword(s):  
Double Barrier ◽  
Resonant Tunnelling

A general comparison theorem for reflected BSDEs

2021 ◽  
pp. 109058
Author(s):  
Mun-Chol Kim ◽  
Hun O
Keyword(s):  
Comparison Theorem ◽  
Reflected Bsdes

scholarly journals Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation

2021 ◽  
Author(s):  
Luca Vincenzo Ballestra
Keyword(s):  
Finite Difference ◽  
Optimization Procedure ◽  
Richardson Extrapolation ◽  
Mesh Optimization ◽  
Option Prices ◽  
Barrier Option ◽  
Double Barrier ◽  
Finite Difference Approximations ◽  
Barrier Option Pricing ◽  
Richardson Extrapolation Technique

AbstractWe show that the performances of the finite difference method for double barrier option pricing can be strongly enhanced by applying both a repeated Richardson extrapolation technique and a mesh optimization procedure. In particular, first we construct a space mesh that is uniform and aligned with the discontinuity points of the solution being sought. This is accomplished by means of a suitable transformation of coordinates, which involves some parameters that are implicitly defined and whose existence and uniqueness is theoretically established. Then, a finite difference scheme employing repeated Richardson extrapolation in both space and time is developed. The overall approach exhibits high efficacy: barrier option prices can be computed with accuracy close to the machine precision in less than one second. The numerical simulations also reveal that the improvement over existing methods is due to the combination of the mesh optimization and the repeated Richardson extrapolation.

A Double-Barrier-Emitter Triangular-Barrier Optoelectronic Switch

2004 ◽  
Vol 40 (4) ◽  
pp. 413-419 ◽  
Author(s):  
D.-F. Guo ◽  
J.-Y. Chen ◽  
H.-M. Chuang ◽  
C.-Y. Chen ◽  
W.-C. Liu
Keyword(s):  
Double Barrier ◽  
Optoelectronic Switch

scholarly journals Aharonov-Bohm phase operations on a double-barrier nanoring charge qubit

2006 ◽  
Vol 74 (3) ◽  
Author(s):  
Yuquan Wang ◽  
Ning Yang ◽  
Jia-Lin Zhu
Keyword(s):  
Double Barrier ◽  
Charge Qubit ◽  
Aharonov Bohm
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