American options in an imperfect complete market with default

American options in an imperfect complete market with default

We study pricing and hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The payoff is given by an RCLL adapted process (ξt). We define the seller's price of the American option as th...

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Bibliographic Details
Main Authors: Dumitrescu Roxana, Quenez Marie-Claire, Sulem Agnès
Format: Article
Language:English
Published: EDP Sciences 2018-01-01
Series:ESAIM: Proceedings and Surveys
Subjects:
american options
imperfect markets
nonlinear expectation
superhedging
default
reflected
backward stochastic differential equations
Online Access:https://doi.org/10.1051/proc/201864093

Internet

https://doi.org/10.1051/proc/201864093

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