2 citations · 3 across the 2 of their papers we have counts for
4 papers
Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales
Tianyang Nie, Marek Rutkowski
We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general multi-asset framework encomp…
Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales
Tianyang Nie, Marek Rutkowski
Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is to develop a general m…
Arbitrage-Free Pricing of Game Options in Nonlinear Markets
Tianyang Nie, Edward Kim, Marek Rutkowski
The goal is to re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2017) who studied game options within the nonlinear arbitrage-free pricing…
Arbitrage-free pricing of American options in nonlinear markets
Edward Kim, Tianyang Nie, Marek Rutkowski
We re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2018) who studied American and game options in a particular market model using the nonl…