79 citations · 228 across the 17 of their papers we have counts for
3 papers · 1 filter
Sticky continuous processes have consistent price systems
Christian Bender, Mikko S. Pakkanen, Hasanjan Sayit
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves wit…
A primal-dual algorithm for BSDEs
Christian Bender, Nikolaus Schweizer, Jia Zhuo
We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization…
A First-Order BSPDE for Swing Option Pricing
Christian Bender, Nikolai Dokuchaev
We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a…