European Options in a Nonlinear Incomplete Market Model with Default (Q5131411)
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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 |
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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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