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• W2939316336 abstract "We study the superhedging problem for American options with completely irregular payoffs in a non-linear and incomplete market model with default. We give a dual representation of the seller’s (superhedging) price in terms of the value of a non-linear mixed control/stopping problem, involving a suitable set of equivalent probability measures. We characterize the seller’s price process as the minimal supersolution of two types of reflected BSDEs: a constrained one and an optional one. Under some regularity assumptions on the pay-off, we show a duality result for the buyer’s price in terms of the value of a non-linear control/stopping game problem." @default.
• W2939316336 created "2019-04-25" @default.
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• W2939316336 date "2021-12-01" @default.
• W2939316336 modified "2023-10-12" @default.
• W2939316336 title "American options in a non-linear incomplete market model with default" @default.
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• W2939316336 doi "https://doi.org/10.1016/j.spa.2021.09.004" @default.
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