American options in an imperfect market with default
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- Roxana Dumitrescu & Marie-Claire Quenez & Agnès Sulem, 2015. "Optimal Stopping for Dynamic Risk Measures with Jumps and Obstacle Problems," Journal of Optimization Theory and Applications, Springer, vol. 167(1), pages 219-242, October.
- Peter Bank & Dmitry Kramkov, 2015. "A model for a large investor trading at market indifference prices. I: Single-period case," Finance and Stochastics, Springer, vol. 19(2), pages 449-472, April.
- Peter Bank & Dmitry Kramkov, 2011. "A model for a large investor trading at market indifference prices. II: Continuous-time case," Papers 1110.3229, arXiv.org, revised Sep 2015.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2017-09-03 (Risk Management)
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