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Revision as of 23:41, 23 July 2024

scientific article; zbMATH DE number 7271095
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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)
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    7 November 2020
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    incomplete market
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    superhedging
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    nonlinear option pricing
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    constrained BSDE
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    control problem with \(f\)-expectation
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    nonlinear optional decomposition
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    pricing-hedging duality
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