53 citations · 57 across the 6 of their papers we have counts for
Showing 2018 · q-fin.MFShow all
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q-fin.MF2018
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…
q-fin.MF2018
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…