We introduce a new probabilistic method for solving a class of impulse control problems based on their representations as Backward Stochastic Differential Equations (BSDEs for short) with constrained jumps. As an example, our method is used for pricing Swing options. We deal with the jump...

We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value functions of the portfolio/consumption choice problem. As an important consequence, we can prove the existence of the...

We study the contingent claim valuation problem in a general discrete-time framework with transaction costs. We consider the cost of the replicating strategy for attainable contingent claims and the minimal cost of the dominating strategies and we derive an expected representation formula for...