The robust pricing–hedging duality for American options in discrete time financial markets (Q5241566): Difference between revisions
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Latest revision as of 08:49, 27 August 2024
scientific article; zbMATH DE number 7125070
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The robust pricing–hedging duality for American options in discrete time financial markets |
scientific article; zbMATH DE number 7125070 |
Statements
The robust pricing–hedging duality for American options in discrete time financial markets (English)
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31 October 2019
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American option
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dynamic programming principle
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Kantorovich duality
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martingale optimal transport
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measure valued martingale
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nondominated model
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randomized stopping times
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superreplication
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weak formulation
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