53 citations · 157 across the 23 of their papers we have counts for
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math.PR2013★ 19 cited
Reflected BSDEs in time-dependent convex regions
Tomasz Klimsiak, Andrzej Rozkosz, Leszek Slominski
We prove existence and uniqueness of solutions of reflected backward stochastic differential equations in time-dependent adapted and càdlàg convex regions $\mathcal{D}=\{D_t;t\in[0…
math.PR2013★ 6 cited
The early exercise premium representation for American options on multiply assets
Tomasz Klimsiak, Andrzej Rozkosz
In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes…