We start by briefly surveying a research on optimal stopping games since their introduction
by Dynkin more than 40 years ago. Recent renewed interest to Dynkin's games is due, in …

In this paper we find tight sufficient conditions for the continuity of the value of the utility
maximization problem from terminal wealth with respect to the convergence in distribution of …

We introduce a new class of Backward Stochastic Differential Equations with weak
reflections whose solution (Y, Z) satisfies the weak constraint E [Ψ (θ, Yθ)]≥ m, for all …

Partial hedging of American options is an interesting minimax problem and in this paper we
establish its dual problem that concerns only maximization. The case of a continuous price …

Rigorous mathematical finance relies strongly on two additional fields: optimal stopping and
stochastic analysis. This book is the first one which presents not only main results in the …

As a main contribution we present a new approach for studying the problem of optimal
partial hedging of an American contingent claim in a finite and complete discrete-time …

Одной из приоритетных задач финансовой математики является вычисление
безарбитражных цен опционов. Опцион представляет собой контракт, который в …

We study shortfall risk minimization for American options with path‐dependent payoffs under
proportional transaction costs in the Black–Scholes (BS) model. We show that for this case …

In this paper we study the existence of an optimal hedging strategy for the shortfall risk
measure in the game options setup. We consider the continuous time Black–Scholes (BS) …

We study partial hedging for game options in markets with transaction costs bounded from
below. More precisely, we assume that the investor's transaction costs for each trade are the …