5 citations · 17 across the 18 of their papers we have counts for
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math.PR2022★ 1 cited
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…
math.PR2022★ 2 cited
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…
math.PR2022
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…