Optimal stopping under model uncertainty and the regularity of lower Snell envelopes

DOI10.1080/14697688.2010.488653zbMATH Open1279.91157OpenAlexW1972984900MaRDI QIDQ2869977FDOQ2869977

Authors: Erick Treviño Aguilar 

Publication date: 17 January 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2010.488653

Recommendations

• American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.
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• On a discretization procedure for the stopping time problem

zbMATH Keywords

American optionsfinancial derivativescontinuous-time financederivatives analysis

Mathematics Subject Classification ID

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

Cites Work

• Maxmin expected utility with non-unique prior
• Optimal Stopping With Multiple Priors
• On the pricing of American options
• Optional decompositions under constraints
• Recursive multiple-priors.
• Convex risk measures and the dynamics of their penalty functions
• Hedging American contingent claims with constrained portfolios
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
• Stochastic process measurability conditions

Cited In (5)

• A Doob-Meyer decomposition under model ambiguity: the case of compactness
• The lower Snell envelope of smooth functions: an optional decomposition
• Minimax theorems for American options without time-consistency
• Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
• American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.

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