5 citations · 17 across the 18 of their papers we have counts for
18 papers
Variable martingale Hardy-Lorentz-Karamata spaces and their applications in Fourier Analysis
Zhiwei Hao, Xinru Ding, Libo Li +1
In this paper, we introduce a new class of function spaces, which unify and generalize Lorentz-Karamata spaces, variable Lorentz spaces and other several classical function spaces.…
Integration by parts formula for exit times of one dimensional diffusions
Noufel Frikha, Arturo Kohatsu-Higa, Libo Li
In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an inte…
Vulnerable European and American Options in a Market Model with Optional Hazard Process
Libo Li, Ruyi Liu, Marek Rutkowski
We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated a…
Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs
Libo Li, Ruyi Liu, Marek Rutkowski
The paper is directly motivated by the pricing of vulnerable European and American options in a general hazard process setup and a related study of the corresponding pre-default ba…
American Options with Last Exit Times: A Free-Boundary Approach
Zhuoshu Wu, Libo Li
We study the valuation of an American put option with a random time horizon given by the last exit time of the underlying asset from a fixed level. Since this random time is not a…
Defaultable perpetual Russian option Under a last passage time model
Zhuoshu Wu, Libo Li
In this article we provide a valuation formula for a defaultable perpetual Russian option in the Black-Scholes market where the default time is modelled as the last passage time of…