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American options in an imperfect complete market with default - MaRDI portal

American options in an imperfect complete market with default (Q4615505)

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scientific article; zbMATH DE number 7007412
Language Label Description Also known as
English
American options in an imperfect complete market with default
scientific article; zbMATH DE number 7007412

    Statements

    title
    American options in an imperfect complete market with default (English)
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    author
    Roxana Dumitrescu
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    Marie-Claire Quenez
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    Agnès Sulem
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    publication date
    29 January 2019
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    zbMATH Keywords
    American options
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    imperfect markets
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    nonlinear expectation
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    superhedging
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    default
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    reflected
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    backward stochastic differential equations
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    cites work
    Q4086511
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    Q4356589
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    Q4357646
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    Q4368791
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    Q4936390
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    Q4350437
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    Q4657107
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    91G10
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    60H10
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    zbMATH DE Number
    7007412
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    OpenAlex ID
    W2763948697
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    arXiv ID
    1708.08675
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