5 citations · 17 across the 18 of their papers we have counts for
15 papers · 1 filter
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…
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…
Generalized BSDEs with random time horizon in a progressively enlarged filtration
Anna Aksamit, Libo Li, Marek Rutkowski
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon , which is not a stopping time, under minimal assumptions regarding t…
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
Noufel Frikha, Libo Li
In this article, we are interested in the strong well-posedness together with the numerical approximation of some one-dimensional stochastic differential equations with a non-linea…