4 citations · 21 across the 17 of their papers we have counts for
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q-fin.PR2017★ 1 cited
American options in an imperfect market with default
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealt…
q-fin.PR2016★ 2 cited
BSDEs with default jump
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study the properties of nonlinear Backward Stochastic Differential Equations (BSDEs) driven by a Brownian motion and a martingale measure associated with a default jump with int…