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q-fin.MF2021★ 1 cited
Superhedging duality for multi-action options under model uncertainty with information delay
Anna Aksamit, Ivan Guo, Shidan Liu +1
We consider the superhedging price of an exotic option under nondominated model uncertainty in discrete time in which the option buyer chooses some action from an (uncountable) act…
math.PR2021
Generalized BSDEs with random time horizon in a progressively enlarged filtration
Anna Aksamit, Libo Li, Marek Rutkowski
We study generalized backward stochastic differential equations (BSDEs) up to a random time horizon , which is not a stopping time, under minimal assumptions regarding t…