1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.PR2017★ 1 cited
American options in an imperfect market with default
Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealt…
math.OC2015
Optimal control of predictive mean-field equations and applications to finance
Bernt Øksendal, Agnès Sulem
We study a coupled system of controlled stochastic differential equations (SDEs) driven by a Brownian motion and a compensated Poisson random measure, consisting of a forward SDE i…
math.PR2012
Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps
Marie-Claire Quenez, AgnÈs Sulem
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (…