Arbeitspapier
Optimal stopping with f-expectations: The irregular case
We consider the optimal stopping problem with non-linear f-expectation (induced by a BSDE) without making any regularity assumptions on the reward process xi. We show that the value family can be aggregated by an optional process Y . We characterize the process Y as the Ef-Snell envelope of xi. We also establish an infinitesimal characterization of the value process Y in terms of a Reflected BSDE with xi as the obstacle. To do this, we first establish a comparison theorem for irregular RBS DEs. We give an application to the pricing of American options with irregular pay-off in an imperfect market model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Center for Mathematical Economics Working Papers ; No. 587
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Grigorova, Miryana
Imkeller, Peter
Ouknine, Youssef
Quenze, Marie-Claire
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2017
- Handle
- URN
-
urn:nbn:de:0070-pub-29304233
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Grigorova, Miryana
- Imkeller, Peter
- Ouknine, Youssef
- Quenze, Marie-Claire
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2017
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