Robust bounds for the American put

DOI10.1007/s00780-019-00385-4zbMath1411.91558arXiv1711.06466OpenAlexW2963351743WikidataQ128268182 ScholiaQ128268182MaRDI QIDQ1739057

Dominykas Norgilas, David G. Hobson

Publication date: 24 April 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.06466

zbMATH Keywords

optimal stoppingmartingale optimal transportmodel-independent pricingAmerican putleft-curtain coupling

Mathematics Subject Classification ID

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

Related Items

Shadows and barriers ⋮ Supermartingale Brenier's theorem with full-marginals constraint ⋮ On intermediate marginals in martingale optimal transportation ⋮ Supermartingale shadow couplings: the decreasing case ⋮ A potential-based construction of the increasing supermartingale coupling ⋮ Shadow couplings ⋮ Shadow martingales -- a stochastic mass transport approach to the peacock problem ⋮ A construction of the left-curtain coupling

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a problem of optimal transport under marginal martingale constraints
• An explicit martingale version of the one-dimensional Brenier theorem
• Model-independent bounds for option prices -- a mass transport approach
• Martingale optimal transport and robust hedging in continuous time
• Robust pricing and hedging of double no-touch options
• Robust price bounds for the forward starting straddle
• Model uncertainty and the pricing of American options
• Robust hedging of the lookback option
• Root's barrier: construction, optimality and applications to variance options
• Monotone martingale transport plans and Skorokhod embedding
• The left-curtain martingale coupling in the presence of atoms
• Hedging variance options on continuous semimartingales
• A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
• Robust Hedging of Barrier Options
• MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
• ROBUST BOUNDS FOR FORWARD START OPTIONS
• The robust pricing–hedging duality for American options in discrete time financial markets
• On Hedging American Options under Model Uncertainty
• The Existence of Probability Measures with Given Marginals

This page was built for publication: Robust bounds for the American put