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...
Main Authors: | Dumitrescu Roxana, Quenez Marie-Claire, Sulem Agnès |
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Format: | Article |
Language: | English |
Published: |
EDP Sciences
2018-01-01
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Series: | ESAIM: Proceedings and Surveys |
Subjects: | |
Online Access: | https://doi.org/10.1051/proc/201864093 |
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