Zaevski, Tsvetelin Perpetual cancellable American options with convertible features. (English) Zbl 07766691 Mod. Stoch., Theory Appl. 10, No. 4, 367-395 (2023). MSC: 91G20 60G40 91G60 PDFBibTeX XMLCite \textit{T. Zaevski}, Mod. Stoch., Theory Appl. 10, No. 4, 367--395 (2023; Zbl 07766691) Full Text: DOI
Aksamit, Anna; Li, Libo; Rutkowski, Marek Generalized BSDE and reflected BSDE with random time horizon. (English) Zbl 07707082 Electron. J. Probab. 28, Paper No. 40, 41 p. (2023). MSC: 60H30 60H10 60G40 91G40 PDFBibTeX XMLCite \textit{A. Aksamit} et al., Electron. J. Probab. 28, Paper No. 40, 41 p. (2023; Zbl 07707082) Full Text: DOI Link
Nie, Tianyang; Rutkowski, Marek Reflected and doubly reflected BSDEs driven by RCLL martingales. (English) Zbl 1498.60231 Stoch. Dyn. 22, No. 5, Article ID 2250012, 34 p. (2022). MSC: 60H10 60G44 60H30 91G30 91G40 PDFBibTeX XMLCite \textit{T. Nie} and \textit{M. Rutkowski}, Stoch. Dyn. 22, No. 5, Article ID 2250012, 34 p. (2022; Zbl 1498.60231) Full Text: DOI arXiv
Gapeev, Pavel V.; Li, Libo Perpetual American standard and lookback options with event risk and asymmetric information. (English) Zbl 1508.91559 SIAM J. Financ. Math. 13, No. 3, 773-801 (2022). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 91G20 60G40 35R35 60J60 PDFBibTeX XMLCite \textit{P. V. Gapeev} and \textit{L. Li}, SIAM J. Financ. Math. 13, No. 3, 773--801 (2022; Zbl 1508.91559) Full Text: DOI
Nie, Tianyang; Rutkowski, Marek Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales. (English) Zbl 1487.60116 Probab. Uncertain. Quant. Risk 6, No. 4, 319-342 (2021). MSC: 60H10 60H30 91G30 91G40 PDFBibTeX XMLCite \textit{T. Nie} and \textit{M. Rutkowski}, Probab. Uncertain. Quant. Risk 6, No. 4, 319--342 (2021; Zbl 1487.60116) Full Text: DOI
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao Corrigendum to: “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty”. (English) Zbl 1489.60103 Ann. Appl. Probab. 31, No. 3, 1505-1522 (2021). MSC: 60H10 60H30 91G20 PDFBibTeX XMLCite \textit{A. Matoussi} et al., Ann. Appl. Probab. 31, No. 3, 1505--1522 (2021; Zbl 1489.60103) Full Text: DOI arXiv Link
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès American options in a non-linear incomplete market model with default. (English) Zbl 1476.91185 Stochastic Processes Appl. 142, 479-512 (2021). MSC: 91G20 60G40 60H30 PDFBibTeX XMLCite \textit{M. Grigorova} et al., Stochastic Processes Appl. 142, 479--512 (2021; Zbl 1476.91185) Full Text: DOI
Kim, Edward; Nie, Tianyang; Rutkowski, Marek American options in nonlinear markets. (English) Zbl 1484.91479 Electron. J. Probab. 26, Paper No. 90, 41 p. (2021). MSC: 91G20 60G40 60H30 PDFBibTeX XMLCite \textit{E. Kim} et al., Electron. J. Probab. 26, Paper No. 90, 41 p. (2021; Zbl 1484.91479) Full Text: DOI
Grigorova, Miryana; Quenez, Marie-Claire; Sulem, Agnès European options in a nonlinear incomplete market model with default. (English) Zbl 1452.91308 SIAM J. Financ. Math. 11, No. 3, 849-880 (2020). MSC: 91G20 60H10 60G44 PDFBibTeX XMLCite \textit{M. Grigorova} et al., SIAM J. Financ. Math. 11, No. 3, 849--880 (2020; Zbl 1452.91308) Full Text: DOI
Grigorova, Miryana; Imkeller, Peter; Ouknine, Youssef; Quenez, Marie-Claire Optimal stopping with \(f\)-expectations: the irregular case. (English) Zbl 1471.60055 Stochastic Processes Appl. 130, No. 3, 1258-1288 (2020). MSC: 60G40 60G65 60H10 91G20 PDFBibTeX XMLCite \textit{M. Grigorova} et al., Stochastic Processes Appl. 130, No. 3, 1258--1288 (2020; Zbl 1471.60055) Full Text: DOI arXiv