American options in a non-linear incomplete market model with default

DOI10.1016/j.spa.2021.09.004zbMath1476.91185OpenAlexW2939316336MaRDI QIDQ2239267

Miryana Grigorova, Agnès Sulem, Marie-Claire Quenez

Publication date: 3 November 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2021.09.004

zbMATH Keywords

American optionsincomplete marketsnonlinear pricingconstrained reflected BSDEirregular pay-off processnon-linear optional decomposition

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information

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