Given p∈(1,2), we study Lp - solutions of a reflected backward stochastic differential equation with jumps (RBSDEJ) whose generator g is Lipschitz continuous in (y,z,u). We show that such a RBSDEJ with p - integrable parameters admits a unique Lp solution using a fixed-point argument as well...

Given p ∈ (1, 2), we study L^p solutions of a multi-dimensional backward stochastic differential equation with jumps (BSDEJ) whose generator may not be Lipschitz continuous in (y, z, u). We show that such a BSDEJ with a p−integrable terminal data admits a unique L^p solution by approximating...

We consider a financial model where stocks are available for dynamic trading, and European and American options are available for static trading (semi-static trading strategies). We assume that the American options are infinitely divisible, and can only be bought but not sold. We first get the...

We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American option in the model independent framework of ArXiv:1305.6008. We obtain the duality of results for the sub- and...

We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with bid-ask spreads. In this set-up, we need...

With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time, semi-static market of stocks and options. Based on duality...