英文标题：
《Arbitrage-free pricing of American options in nonlinear markets》
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作者：
Edward Kim, Tianyang Nie, Marek Rutkowski
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最新提交年份：
2018
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英文摘要：
We re-examine and extend the findings from the recent paper by Dumitrescu, Quenez and Sulem (2018) who studied American and game options in a particular market model using the nonlinear arbitrage-free pricing approach developed in El Karoui and Quenez (1997). In the first part, we provide a detailed study of unilateral valuation problems for the two counterparties in an American-style contract within the framework of a general nonlinear market. We extend results from Bielecki and Rutkowski (2015) and Bielecki, Cialenco and Rutkowski (2018) who examined the case of a European-style contract. In the second part, we present a BSDE approach, which is used to establish more explicit pricing, hedging and exercising results when solutions to reflected BSDEs have additional desirable properties.
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中文摘要：
我们重新审查并扩展了Dumitrescu、Quenez和Sulem（2018）最近的论文中的研究结果，他们使用El Karoui和Quenez（1997）开发的非线性无套利定价方法研究了特定市场模型中的美式期权和博弈期权。在第一部分中，我们在一般非线性市场的框架内详细研究了美式合同中两个交易对手的单边估价问题。我们扩展了Bielecki和Rutkowski（2015）以及Bielecki、Cialenco和Rutkowski（2018）的结果，他们研究了欧洲风格合同的案例。在第二部分中，我们提出了一种BSDE方法，当反映BSDE的解决方案具有额外的期望属性时，该方法用于建立更明确的定价、套期保值和行使结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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