48 citations · 207 across the 31 of their papers we have counts for
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2020★ 1 cited
Are American options European after all?
Sören Christensen, Jan Kallsen, Matthias Lenga
We call a given American option representable if there exists a European claim which dominates the American payoff at any time and such that the values of the two options coincide…
q-fin.MF2019
A Solvable Two-dimensional Optimal Stopping Problem in the Presence of Ambiguity
Sören Christensen, Luis H. R. Alvarez E
According to conventional wisdom, ambiguity accelerates optimal timing by decreasing the value of waiting in comparison with the unambiguous benchmark case. We study this mechanism…