4 citations · 11 across the 10 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
math.PR2019★ 4 cited
Global Well-posedness of Non-Markovian Multidimensional Superquadratic BSDE
Kihun Nam
(Working Paper) Using a purely probabilistic argument, we prove the global well-posedness of multidimensional superquadratic backward stochastic differential equations (BSDEs) with…
q-fin.MF2019
Time-changed \levy processes and option pricing: a critical comment
Hasan Fallahgoul, Kihun Nam
Carr and Wu (2004), henceforth CW, developed a framework that encompasses almost all of the continuous-time models proposed in the option pricing literature. Their framework hinges…