On Hedging American Options under Model Uncertainty

DOI10.1137/140961869zbMath1315.91060arXiv1309.2982OpenAlexW3123121825MaRDI QIDQ5258452

Yu-Jui Huang, Erhan Bayraktar, Zhou Zhou

Publication date: 26 June 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.2982

zbMATH Keywords

American optionsmodel independent pricingsemistatic hedging strategies

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions ⋮ SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY ⋮ No-arbitrage with multiple-priors in discrete time ⋮ Robust bounds for the American put ⋮ Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ Duality for pathwise superhedging in continuous time ⋮ Discretisation and duality of optimal Skorokhod embedding problems ⋮ Transport plans with domain constraints ⋮ Robust superhedging with jumps and diffusion ⋮ Robust pricing and hedging around the globe ⋮ No-Arbitrage and Hedging with Liquid American Options ⋮ Reduced-form framework under model uncertainty

Cites Work

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• The Existence of Probability Measures with Given Marginals

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