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

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)

Recommendations

• American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.
• Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
• The lower Snell envelope of smooth functions: an optional decomposition
• Functional convergence of Snell envelopes: Applications to American options approximations
• On a discretization procedure for the stopping time problem

Cites work

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

Cited in

(5)

• The lower Snell envelope of smooth functions: an optional decomposition
• Minimax theorems for American options without time-consistency
• A Doob-Meyer decomposition under model ambiguity: the case of compactness
• 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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