American options in nonlinear markets
From MaRDI portal
Publication:2042845
Recommendations
- American options in a non-linear incomplete market model with default
- scientific article; zbMATH DE number 1069627
- Reflected BDSDEs with stochastic monotone generator and application to valuing American options
- American options in an imperfect complete market with default
- On backward stochastic differential equations approach to valuation of American options
Cites work
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 481040 (Why is no real title available?)
- scientific article; zbMATH DE number 1069627 (Why is no real title available?)
- scientific article; zbMATH DE number 1066313 (Why is no real title available?)
- scientific article; zbMATH DE number 1066453 (Why is no real title available?)
- scientific article; zbMATH DE number 2144817 (Why is no real title available?)
- scientific article; zbMATH DE number 1396448 (Why is no real title available?)
- A BSDE approach to fair bilateral pricing under endogenous collateralization
- A risk-sharing framework of bilateral contracts
- American options in an imperfect complete market with default
- Arbitrage-free XVA
- Arbitrage-free pricing of derivatives in nonlinear market models
- BSDEs driven by multidimensional martingales and their applications to markets with funding costs
- BSDEs with default jump
- BSDEs with jumps, optimization and applications to dynamic risk measures
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- Backward Stochastic Differential Equations in Finance
- Backward stochastic differential equations with reflection and Dynkin games
- Bergman, Piterbarg, and beyond: pricing derivatives under collateralization and differential rates
- Bilateral counterparty risk under funding constraints. I: Pricing
- Bilateral counterparty risk under funding constraints. II: CVA
- Binary funding impacts in derivative valuation
- Contingent claim valuation in a market with different interest rates
- Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
- Fair bilateral prices in Bergman's model with exogenous collateralization
- Fair bilateral pricing under funding costs and exogenous collateralization
- Functional convergence of Snell envelopes: Applications to American options approximations
- Game options in an imperfect market with default
- Hedging American contingent claims with constrained portfolios
- Immersion property and credit risk modelling
- On arbitrage and duality under model uncertainty and portfolio constraints
- On the pricing of American options
- On the theory of option pricing
- Optimal stopping time problem in a general framework
- Optimal stopping with \(f\)-expectations: the irregular case
- PDE approach to valuation and hedging of credit derivatives
- Penalization method for reflected backward stochastic differential equations with one r.c.l.l. barrier
- Pricing derivatives of American and game type in incomplete markets
- Quadratic reflected BSDEs with unbounded obstacles
- Reflected BSDE's with discontinuous barrier and application
- Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
- Reflected BSDEs on filtered probability spaces
- Reflected BSDEs when the obstacle is not right-continuous and optimal stopping
- Reflected BSDEs when the obstacle is not right-continuous in a general filtration
- Reflected BSDEs with monotone generator
- Reflected BSDEs with regulated trajectories
- Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
- Reflected backward SDEs with general jumps
- Reflected backward stochastic differential equation with jumps and RCLL obstacle
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Robust XVA
- The obstacle version of the geometric dynamic programming principle: application to the pricing of American options under constraints
- The pricing of the American option
- The robust pricing–hedging duality for American options in discrete time financial markets
- The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
- Valuation and hedging of contracts with funding costs and collateralization
- Valuation of American options in the presence of event risk
- Variational inequalities and the pricing of American options
Cited in
(9)- A nonlinear partial differential equation for american options in the entire domain of the state variable
- American options in a non-linear incomplete market model with default
- Optimal stopping: Bermudan strategies meet non-linear evaluations
- Generalized BSDE and reflected BSDE with random time horizon
- Reflected and doubly reflected BSDEs driven by RCLL martingales
- American option pricing under financial crisis
- Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
- American options in an imperfect complete market with default
- Strict local martingale deflators and valuing American call-type options
This page was built for publication: American options in nonlinear markets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2042845)
