MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS

DOI10.1111/mafi.12058zbMath1380.91128arXiv1301.5467OpenAlexW2152787912MaRDI QIDQ2800003

Christoph Hoeggerl, Alexander Matthew Gordon Cox

Publication date: 14 April 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.5467

zbMATH Keywords

American optionSkorokhod embeddingmodel-independent arbitrageLegendre-Fenchel transformationconvex conjugate

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Perturbation analysis of sub/super hedging problems ⋮ Robust bounds for the American put ⋮ Model uncertainty and the pricing of American options ⋮ No-Arbitrage and Hedging with Liquid American Options

Cites Work

• Robust pricing and hedging of double no-touch options
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• Robust hedging of the lookback option
• Root's barrier: construction, optimality and applications to variance options
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• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Robust Hedging of Barrier Options
• PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES
• Robust Hedging of Double Touch Barrier Options
• Constructing time-homogeneous generalized diffusions consistent with optimal stopping values
• THE RANGE OF TRADED OPTION PRICES
• Some Remarks on Functions with One-Sided Derivatives
• Expensive martingales
• Arbitrage Theory in Continuous Time

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