American Options In Nonlinear Markets

We study unilateral valuation problems for American options within the framework of a general nonlinear market by extending results from Bielecki et al. [9, 12] who examined contracts of European style. A BSDE approach is used to establish more explicit pricing, hedging and exercising results when solutions to reflected BSDEs have additional desirable properties. We employ for this purpose results on solutions to BSDEs and reflected BSDEs driven by RCLL martingales obtained by Nie and Rutkowski [62, 63].