Super-hedging American options with semi-static trading strategies under model uncertainty (Q5367496)
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scientific article; zbMATH DE number 6790986
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| English | Super-hedging American options with semi-static trading strategies under model uncertainty |
scientific article; zbMATH DE number 6790986 |
Statements
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY (English)
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13 October 2017
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American options
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super-hedging
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model uncertainty
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semi-static trading strategies
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randomized models
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0.8619425892829895
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0.8307718634605408
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0.810054361820221
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0.7889750599861145
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0.7876867055892944
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