Roxana Dumitrescu

activity

20132026

most citedA Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with

E^{f}

- expectations

4 citations · 21 across the 17 of their papers we have counts for

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2 papers · 1 filter

q-fin.MF2019

An optional decomposition of $Y^{g, ξ} - s u bma r t in g a l es$ and applications to the hedging of American options in incomplete markets

Roxana Dumitrescu

In the recent paper \cite{DESZ}, the notion of $Y^{g, ξ}$ -submartingale processes has been introduced. Within a jump-diffusion model, we prove here that a process $X$ whic…

q-fin.MF2015

Game options in an imperfect market with default

Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem

We study pricing and superhedging strategies for game options in an imperfect market with default. We extend the results obtained by Kifer in \cite{Kifer} in the case of a perfect…

An optional decomposition of Yg,ξ−submartingales and applications to the hedging of American options in incomplete markets

Game options in an imperfect market with default

An optional decomposition of $Y^{g, ξ} - s u bma r t in g a l es$ and applications to the hedging of American options in incomplete markets