53 citations · 56 across the 3 of their papers we have counts for
3 papers · 1 filter
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…
Risk-neutral valuation under differential funding costs, defaults and collateralization
Damiano Brigo, Cristin Buescu, Marco Francischello +2
We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has…