Martingales and upper bounds for American-style options

DOI10.4310/CMS.2015.V13.N3.A5MaRDI QIDQ2348474zbMATH OpenOpenAlexFDO

Authors Yang Wang, Russel Caflisch

Publication date 12 June 2015

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/cms.2015.v13.n3.a5

zbMATH Keywords

American optiondual pricing formulamartingaleupper bound estimation

Mathematics Subject Classification ID

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

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Cited in

(4)

• Testing the martingale restriction for option implied densities
• A bound on the value of a two-sided Margrabe infinite American option
• Smooth upper bounds for the price function of American style options
• On the upper bound of a call option

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