European Options in a Nonlinear Incomplete Market Model with Default

DOI10.1137/20M1318018zbMath1452.91308OpenAlexW4248311930MaRDI QIDQ5131411

Marie-Claire Quenez, Miryana Grigorova, Agnès Sulem

Publication date: 7 November 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1318018

zbMATH Keywords

incomplete marketpricing-hedging dualitysuperhedgingnonlinear option pricingconstrained BSDEcontrol problem with \(f\)-expectationnonlinear optional decomposition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Optimal multiple stopping problem under nonlinear expectation ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ On the strict value of the non-linear optimal stopping problem ⋮ American options in a non-linear incomplete market model with default

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