American options in an imperfect complete market with default

We study pricing and hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The payoff is given by an RCLL adapted process (ξt). We define the seller's price of the American option as the min...

Descripció completa

Dades bibliogràfiques

Autors principals:	Dumitrescu Roxana, Quenez Marie-Claire, Sulem Agnès
Format:	Artigo
Idioma:	Inglês
Publicat:	EDP Sciences 2018-01-01
Col·lecció:	ESAIM: Proceedings and Surveys
Matèries:	american options imperfect markets nonlinear expectation superhedging default reflected backward stochastic differential equations
Accés en línia:	https://doi.org/10.1051/proc/201864093
Etiquetes:	Afegir etiqueta Sense etiquetes, Sigues el primer a etiquetar aquest registre!