Superhedging prices of European and American options in a non-linear incomplete market with default
Year of publication: |
[2018]
|
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Authors: | Grigorova, Miryana ; Quenez, Marie-Clair ; Sulem, Agnès |
Publisher: |
Bielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University |
Subject: | European options | American options | incomplete markets | non-linear pricing | BSDEs with constraints | constrained reflected BSDEs | f-expectation | control problems with non-linear expectation | optimal stopping with non-linear expectation | non-linear optional decomposition | pricing-hedging duality | Optionspreistheorie | Option pricing theory | Unvollkommener Markt | Incomplete market | Optionsgeschäft | Option trading | Suchtheorie | Search theory | Nichtlineare Regression | Nonlinear regression |
Extent: | 1 Online-Ressource (circa 44 Seiten) |
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Series: | Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW). - Bielefeld : IMW, ISSN 2942-9536, ZDB-ID 2437810-0. - Vol. 607 (November 2018) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/201632 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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