American options in a non-linear incomplete market model with default

Grigorova, M, Quenez, M-C and Sulem, A (2019) American options in a non-linear incomplete market model with default. Working Paper. Archive ouverte HAL

Abstract

Metadata

Authors/Creators:
  • Grigorova, M
  • Quenez, M-C
  • Sulem, A
Keywords: American options, incomplete markets, non-linear pricing, constrained re- ected BSDE, f-expectation, control problems with non-linear expectation, optimal stopping with non-linear expectation, non-linear optional decomposition, pricing-hedging duality
Dates:
  • Published: 20 May 2019
  • Accepted: 19 February 2019
  • Published (online): 20 May 2019
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Maths and Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 05 Sep 2019 16:12
Last Modified: 05 Sep 2019 16:12
Published Version: https://hal.archives-ouvertes.fr/hal-02025835
Status: Published online
Publisher: Archive ouverte HAL

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