439 citations · 1.3k across the 38 of their papers we have counts for
3 papers · 1 filter
American Options with Asymmetric Information and Reflected BSDE
Neda Esmaeeli, Peter Imkeller
We consider an American contingent claim on a financial market where the buyer has additional information. Both agents (seller and buyer) observe the same prices, while the informa…
Pricing and hedging of derivatives based on non-tradable underlyings
Stefan Ankirchner, Peter Imkeller, Goncalo dos Reis
This paper is concerned with the study of insurance related derivatives on financial markets that are based on non-tradable underlyings, but are correlated with tradable assets. We…
Optimal cross hedging for insurance derivatives
Stefan Ankirchner, Peter Imkeller, Alexandre Popier
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is corre…