American options in nonlinear markets

DOI10.1214/21-EJP658zbMATH Open1484.91479MaRDI QIDQ2042845FDOQ2042845

Authors: Tianyang Nie, Marek Rutkowski, Edward D. Kim 

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

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zbMATH Keywords

American optionreflected BSDEnonlinear evaluationnonlinear market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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Cited In (7)

• A nonlinear partial differential equation for american options in the entire domain of the state variable
• 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
• Strict local martingale deflators and valuing American call-type options

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