Superhedging prices of European and American options in a non-linear incomplete market with default
Year of publication: |
2018
|
---|---|
Authors: | Grigorova, Miryana ; Quenez, Marie-Clair ; Sulem, Agnès |
Publisher: |
Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW) |
Subject: | European options | American options | incomplete markets | non-linear pricing | BSDEs with constraints | constrained reflected BSDEs | f-expectation | control problems with non-linear expectation | optimal stopping with non-linear expectation | non-linear optional decomposition | pricing-hedging duality |
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