13 citations · 45 across the 19 of their papers we have counts for
24 papers
Second-Order Esscher Pricing for Lévy Models with Applications: Risk Management and Fear Quantification
Tahir Choulli, Ella Elazkany, Mich`ele Vanmaele
This paper proposes the second-order Esscher transform as a tractable extension of the classical Esscher framework for option pricing and risk management in Lévy-driven markets. Fo…
Linear reflected backward stochastic differential equations arising from vulnerable claims in markets with random horizon
T. Choulli, S. Alsheyab
This paper considers the setting governed by , where is the "public" flow of information, and is a random time which might not be -obse…
The second-order Esscher martingale densities for continuous-time market models
Tahir Choulli, Ella Elazkany, Michèle Vanmaele
In this paper, we introduce the second-order Esscher pricing notion for continuous-time models. Depending whether the stock price or its logarithm is the main driving noise/sho…
New Stochastic Fubini Theorems
Tahir Choulli, Martin Schweizer
The classic stochastic Fubini theorem says that if one stochastically integrates with respect to a semimartingale an -mixture of -parametrized integrands , the r…
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
Tahir Choulli, Emmanuel Lepinette
In this paper, we consider the discrete-time setting, and the market model described by (S,F,T)$. Herein F is the ``public" flow of information which is available to all agents ove…
Optimal stopping problem under random horizon
Tahir Choulli, Safa' Alsheyab
This paper considers a pair , where is a filtration representing the "public" flow of information which is available to all agents overtime, and is…