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Cited article:

Last-Passage American Cancelable Option in Lévy Models

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Journal of Risk and Financial Management 16 (2) 82 (2023)
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Generalized BSDE and reflected BSDE with random time horizon

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Electronic Journal of Probability 28 (none) (2023)
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Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information

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SIAM Journal on Financial Mathematics 13 (3) 773 (2022)
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American options in a non-linear incomplete market model with default

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Stochastic Processes and their Applications 142 479 (2021)
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Corrigendum for “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty”

Anis Matoussi, Dylan Possamaï and Chao Zhou
The Annals of Applied Probability 31 (3) (2021)
https://doi.org/10.1214/20-AAP1622

American options in nonlinear markets

Edward Kim, Tianyang Nie and Marek Rutkowski
Electronic Journal of Probability 26 (none) (2021)
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Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales

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Probability, Uncertainty and Quantitative Risk 6 (4) 319 (2021)
https://doi.org/10.3934/puqr.2021016

European Options in a Nonlinear Incomplete Market Model with Default

Miryana Grigorova, Marie-Claire Quenez and Agnès Sulem
SIAM Journal on Financial Mathematics 11 (3) 849 (2020)
https://doi.org/10.1137/20M1318018

Perpetual American Cancellable Standard Options in Models with Last Passage Times

Pavel V. Gapeev, Libo Li and Zhuoshu Wu
Algorithms 14 (1) 3 (2020)
https://doi.org/10.3390/a14010003

Computation and Combinatorics in Dynamics, Stochastics and Control

Roxana Dumitrescu, Miryana Grigorova, Marie-Claire Quenez and Agnès Sulem
Abel Symposia, Computation and Combinatorics in Dynamics, Stochastics and Control 13 233 (2018)
https://doi.org/10.1007/978-3-030-01593-0_9