American options in nonlinear markets (Q2042845): Difference between revisions

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+The robust pricing–hedging duality for American options in discrete time financial markets
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+Reflected BSDEs when the obstacle is not right-continuous in a general filtration
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+Quadratic reflected BSDEs with unbounded obstacles
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+ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS
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+On the theory of option pricing
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+Arbitrage‐free XVA
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+Robust XVA
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+Arbitrage-free pricing of derivatives in nonlinear market models
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+PDE approach to valuation and hedging of credit derivatives
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+Valuation and Hedging of Contracts with Funding Costs and Collateralization
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+The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
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+Backward Stochastic Differential Equations Driven By Càdlàg Martingales
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
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+Q5169724
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+Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
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+Backward stochastic differential equations with reflection and Dynkin games
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+Q3957683
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+BSDEs with default jump
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+Game Options in an Imperfect Market with Default
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+American options in an imperfect complete market with default
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+Q3925594
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+Q4357500
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+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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+Q4356589
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+Backward Stochastic Differential Equations in Finance
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+Q4357646
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+Reflected backward stochastic differential equation with jumps and RCLL obstacle
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+Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
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+Optimal stopping with \(f\)-expectations: the irregular case
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+Reflected BSDE's with discontinuous barrier and application
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+Reflected Backward SDEs with General Jumps
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+Q4274285
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+Variational inequalities and the pricing of American options
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+Q3400712
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+Pricing derivatives of American and game type in incomplete markets
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+On the pricing of American options
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+Hedging American contingent claims with constrained portfolios
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+Reflected BSDEs with monotone generator
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+Reflected BSDEs on filtered probability spaces
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+Reflected BSDEs with regulated trajectories
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+Optimal stopping time problem in a general framework
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+Contingent claim valuation in a market with different interest rates
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+Q4936390
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+A Risk-Sharing Framework of Bilateral Contracts
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+Binary funding impacts in derivative valuation
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+Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
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+Bergman, Piterbarg, and Beyond: Pricing Derivatives Under Collateralization and Differential Rates
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+Functional convergence of Snell envelopes: Applications to American options approximations
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+The pricing of the American option
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+FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION
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+BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs
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+A BSDE approach to fair bilateral pricing under endogenous collateralization
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+Fair bilateral pricing under funding costs and exogenous collateralization
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+Q4657107
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+The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
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+BSDEs with jumps, optimization and applications to dynamic risk measures
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+Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
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+Valuation of American options in the presence of event risk
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