Model uncertainty and the pricing of American options

DOI10.1007/s00780-016-0314-2zbMath1380.91131OpenAlexW2521924288MaRDI QIDQ503400

Anthony Neuberger, David G. Hobson

Publication date: 12 January 2017

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/16285/1/AN_model%20uncertainty.pdf

zbMATH Keywords

robust hedgingmodel riskAmerican optionduality between pricing and hedging problemsmodel-free pricingrational boundsreplicating strategies

Mathematics Subject Classification ID

Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY ⋮ Robust bounds for the American put ⋮ Robust pricing and hedging around the globe ⋮ No-Arbitrage and Hedging with Liquid American Options ⋮ Reduced-form framework under model uncertainty

Cites Work

• 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
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• Linear programming. Foundations and extensions.
• Robust Hedging of Barrier Options
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• MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS
• The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices
• Static-arbitrage upper bounds for the prices of basket options
• THE RANGE OF TRADED OPTION PRICES
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options
• ROBUST BOUNDS FOR FORWARD START OPTIONS
• Static Hedging under Time-Homogeneous Diffusions
• The Existence of Probability Measures with Given Marginals

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