Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85230
Authors: 
Kohlmann, Michael
Year of Publication: 
1999
Series/Report no.: 
CoFE Discussion Paper 99/10
Abstract: 
We review the relations between adjoints of stochastic control problems with the derivative of the value function, and the latter with the value function of a stopping problem. These results are applied to the pricing of contingent claims.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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