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European Options in a Nonlinear Incomplete Market Model with Default - MaRDI portal

European Options in a Nonlinear Incomplete Market Model with Default (Q5131411)

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scientific article; zbMATH DE number 7271095
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European Options in a Nonlinear Incomplete Market Model with Default
scientific article; zbMATH DE number 7271095

    Statements

    title
    European Options in a Nonlinear Incomplete Market Model with Default (English)
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    author
    Miryana Grigorova
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    Marie-Claire Quenez
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    Agnès Sulem
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    publication date
    7 November 2020
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    zbMATH Keywords
    incomplete market
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    superhedging
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    nonlinear option pricing
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    constrained BSDE
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    control problem with \(f\)-expectation
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    nonlinear optional decomposition
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    pricing-hedging duality
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    cites work
    Q3903785
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    Q3915688
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    Q4657107
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    Q4435813
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    Q4657108
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    Identifiers

    DOI
    10.1137/20M1318018
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    Mathematics Subject Classification ID
    91G20
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    60H10
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    60G44
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    zbMATH DE Number
    7271095
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    OpenAlex ID
    W4248311930
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