Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
American options in nonlinear markets - MaRDI portal

American options in nonlinear markets (Q2042845)

From MaRDI portal

Jump to:navigation, search

This is the item page for this Wikibase entity, intended for internal use and editing purposes.

Please use this page instead for the normal view: American options in nonlinear markets

scientific article; zbMATH DE number 7373513

Language	Label	Description	Also known as
English	American options in nonlinear markets	scientific article; zbMATH DE number 7373513

Statements

scholarly article

0 references

American options in nonlinear markets (English)

0 references

0 references

Marek Rutkowski

0 references

0 references

Electronic Journal of Probability

0 references

publication date

21 July 2021

0 references

zbMATH Keywords

American option

0 references

nonlinear evaluation

0 references

nonlinear market

0 references

reflected BSDE

0 references

MaRDI profile type

0 references

The robust pricing–hedging duality for American options in discrete time financial markets

0 references

Reflected BSDEs when the obstacle is not right-continuous in a general filtration

0 references

Quadratic reflected BSDEs with unbounded obstacles

0 references

ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS

0 references

On the theory of option pricing

0 references

Arbitrage‐free XVA

0 references

0 references

Arbitrage-free pricing of derivatives in nonlinear market models

0 references

PDE approach to valuation and hedging of credit derivatives

0 references

Valuation and Hedging of Contracts with Funding Costs and Collateralization

0 references

The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints

0 references

Backward Stochastic Differential Equations Driven By Càdlàg Martingales

0 references

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING

0 references

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

0 references

0 references

Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison

0 references

Backward stochastic differential equations with reflection and Dynkin games

0 references

0 references

BSDEs with default jump

0 references

Game Options in an Imperfect Market with Default

0 references

American options in an imperfect complete market with default

0 references

0 references

0 references

Reflected solutions of backward SDE's, and related obstacle problems for PDE's

0 references

0 references

Backward Stochastic Differential Equations in Finance

0 references

0 references

Reflected backward stochastic differential equation with jumps and RCLL obstacle

0 references

Reflected BSDEs when the obstacle is not right-continuous and optimal stopping

0 references

Optimal stopping with \(f\)-expectations: the irregular case

0 references

Reflected BSDE's with discontinuous barrier and application

0 references

Reflected backward SDEs with general jumps

0 references

0 references

Variational inequalities and the pricing of American options

0 references

0 references

Pricing derivatives of American and game type in incomplete markets

0 references

On the pricing of American options

0 references

Hedging American contingent claims with constrained portfolios

0 references

Reflected BSDEs with monotone generator

0 references

Reflected BSDEs on filtered probability spaces

0 references

Reflected BSDEs with regulated trajectories

0 references

Optimal stopping time problem in a general framework

0 references

Contingent claim valuation in a market with different interest rates

0 references

0 references

A Risk-Sharing Framework of Bilateral Contracts

0 references

Binary funding impacts in derivative valuation

0 references

Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier

0 references

Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates

0 references

Functional convergence of Snell envelopes: Applications to American options approximations

0 references

The pricing of the American option

0 references

FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION

0 references

BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs

0 references

A BSDE approach to fair bilateral pricing under endogenous collateralization

0 references

Fair bilateral pricing under funding costs and exogenous collateralization

0 references

0 references

The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles

0 references

BSDEs with jumps, optimization and applications to dynamic risk measures

0 references

Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps

0 references

Valuation of American options in the presence of event risk

0 references

Identifiers

zbMATH Open document ID

0 references

10.1214/21-EJP658

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

zbMATH DE Number

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2042845

Retrieved from "https://mardi.schubotz.org/w/index.php?title=Item:Q2042845&oldid=43488120"