Arbitrage-free pricing of multi-person game claims in discrete time
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-016-0315-1.pdf
Reference28 articles.
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3. Bielecki, T.R., Rutkowski, M.: Valuation and hedging of contracts with funding costs and collateralization. SIAM J. Financ. Math. 6, 594–655 (2015)
4. Bielecki, T.R., Crépey, S., Jeanblanc, M., Rutkowski, M.: Arbitrage pricing of defaultable game options with applications to convertible bonds. Quant. Finance 8, 795–810 (2008)
5. Cvitanić, J., Karatzas, I.: Backward stochastic differential equations with reflection and Dynkin games. Ann. Probab. 24, 2024–2056 (1996)
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