American options in an imperfect complete market with default

ESAIM: Proceedings and Surveys

关键词: american options;    imperfect markets;    nonlinear expectation;    superhedging;    default;    reflected;    backward stochastic differential equations;   

DOI  :  10.1051/proc/201864093

来源: DOAJ

【 摘 要 】

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 the minimum of the initial capitals which allow the seller to build up a superhedging portfolio. We prove that this price coincides with the value function of an optimal stopping problem with a nonlinear expectation

【 授权许可】

Unknown