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    SIAMCO
    2008
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    Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
    13 years 4 months ago
    Optimal Reflection of Diffusions and Barrier Options Pricing under Constraints
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    We introduce a new class of control problems in which the gain depends on the solution of a stochastic differential equation reflected at the boundary of a bounded domain, along d...
    Bruno Bouchard
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