American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.

MaRDI QIDQ3393565zbMATH OpenFDO

Authors Erick Treviño Aguilar

Publication date 27 August 2009

Full work available at URL http://edoc.hu-berlin.de/dissertationen/trevino-aguilar-erick-2008-06-09/PDF/trevino-aguilar.pdf

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

Recommendations

• Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
• Robust efficient hedging for American options: the existence of worst case probability measures
• Minimax theorems for American options without time-consistency
• The efficient hedging problem for American options
• Optimal partial hedging of an American option: shifting the focus to the expiration date

Cited in

(8)

• Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes
• On the lower arbitrage bound of American contingent claims
• The lower Snell envelope of smooth functions: an optional decomposition
• Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
• Utility maximization when shorting American options
• Minimax theorems for American options without time-consistency
• Robust efficient hedging for American options: the existence of worst case probability measures
• Solving optimal stopping problems under model uncertainty via empirical dual optimisation

This page was built for publication: American options in incomplete markets: upper and lower Snell envelopes and robust partial hedging.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3393565)