13 citations · 34 across the 8 of their papers we have counts for
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math.OC2012
A decomposition approach for the discrete-time approximation of BSDEs with a jump II: the quadratic case
Idris Kharroubi, Thomas Lim
We study the discrete-time approximation for solutions of quadratic forward back- ward stochastic differential equations (FBSDEs) driven by a Brownian motion and a jump process whi…
math.OC2012
Mean-Variance Hedging on uncertain time horizon in a market with a jump
Idris Kharroubi, Thomas Lim, Armand Ngoupeyou
In this work, we study the problem of mean-variance hedging with a random horizon T ^ tau, where T is a deterministic constant and is a jump time of the underlying asset price proc…