American options in an imperfect complete market with default

DOI10.1051/proc/201864093zbMath1419.91612arXiv1708.08675OpenAlexW2763948697MaRDI QIDQ4615505

Marie-Claire Quenez, Roxana Dumitrescu, Agnès Sulem

Publication date: 29 January 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.08675

zbMATH Keywords

defaultbackward stochastic differential equationsAmerican optionsnonlinear expectationsuperhedgingimperfect marketsreflected

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (10)

Reflected and doubly reflected BSDEs driven by RCLL martingales ⋮ Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales ⋮ Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information ⋮ Perpetual cancellable American options with convertible features ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ European Options in a Nonlinear Incomplete Market Model with Default ⋮ American options in a non-linear incomplete market model with default ⋮ Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty ⋮ American options in nonlinear markets ⋮ Optimal stopping with \(f\)-expectations: the irregular case

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