American options in a non-linear incomplete market model with default (Q2239267)
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scientific article; zbMATH DE number 7419534
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| English | American options in a non-linear incomplete market model with default |
scientific article; zbMATH DE number 7419534 |
Statements
American options in a non-linear incomplete market model with default (English)
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3 November 2021
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American options
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incomplete markets
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nonlinear pricing
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constrained reflected BSDE
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irregular pay-off process
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non-linear optional decomposition
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0.917957067489624
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0.8820858597755432
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0.8239807486534119
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0.8108729720115662
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