activity
20122017
most citedAmerican options in an imperfect market with default

1 citations · 1 across the 3 of their papers we have counts for

collaborators
Showing math.PRShow all

1 paper · 1 filter

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 (…