European Options in a Nonlinear Incomplete Market Model with Default (Q5131411): Difference between revisions
From MaRDI portal
Revision as of 23:41, 23 July 2024
scientific article; zbMATH DE number 7271095
Language | Label | Description | Also known as |
---|---|---|---|
English | European Options in a Nonlinear Incomplete Market Model with Default |
scientific article; zbMATH DE number 7271095 |
Statements
European Options in a Nonlinear Incomplete Market Model with Default (English)
0 references
7 November 2020
0 references
incomplete market
0 references
superhedging
0 references
nonlinear option pricing
0 references
constrained BSDE
0 references
control problem with \(f\)-expectation
0 references
nonlinear optional decomposition
0 references
pricing-hedging duality
0 references
0 references