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20072026
most citedPricing and hedging of derivatives based on non-tradable underlyings

46 citations · 69 across the 11 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

math.OC2013★ 2 cited

BSDEs with singular terminal condition and control problems with constraints

Stefan Ankirchner, Monique Jeanblanc, Thomas Kruse

We provide a probabilistic solution of a not necessarily Markovian control problem with a state constraint by means of a Backward Stochastic Differential Equation (BSDE). The novel…

math.PR2013★ 14 cited

Finite, integrable and bounded time embeddings for diffusions

Stefan Ankirchner, David Hobson, Philipp Strack

We solve the Skorokhod embedding problem (SEP) for a general time-homogeneous diffusion : given a distribution , we construct a stopping time such that the stopped proces…