For rank-based stock models, the solution of a two-barriers-reflected BSDE is shown to be the unique viscosity solution of a double-obstacle PDE, with an American game option pricing application.
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Two-barriers-reflected BSDE with Rank-based Data
For rank-based stock models, the solution of a two-barriers-reflected BSDE is shown to be the unique viscosity solution of a double-obstacle PDE, with an American game option pricing application.