Model uncertainty and the pricing of American options

DOI10.1007/S00780-016-0314-2zbMATH Open1380.91131OpenAlexW2521924288MaRDI QIDQ503400FDOQ503400

Authors: Anthony Neuberger, David 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

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zbMATH Keywords

American optionmodel riskrobust hedgingduality between pricing and hedging problemsmodel-free pricingrational boundsreplicating strategies

Mathematics Subject Classification ID

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

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Static-arbitrage upper bounds for the prices of basket options
• Robust hedging of the lookback option
• Arbitrage and duality in nondominated discrete-time models
• Robust hedging of barrier options.
• A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
• The Skorokhod embedding problem and model-independent bounds for option prices
• THE RANGE OF TRADED OPTION PRICES
• 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
• Robust bounds for forward start options
• The Existence of Probability Measures with Given Marginals
• Hedging variance options on continuous semimartingales
• Monte Carlo valuation of American options
• Model-independent hedging strategies for variance swaps
• Pricing American Options: A Duality Approach
• Linear programming. Foundations and extensions.
• Model-independent no-arbitrage conditions on American put options
• Static hedging under time-homogeneous diffusions

Cited In (19)

• On the American option-pricing model with an uncertain volatility
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• WORST-CASE SCENARIOS FOR AMERICAN OPTIONS
• Valuing American contingent claims when time to maturity is uncertain
• Robust bounds for the American put
• Super-hedging American options with semi-static trading strategies under model uncertainty
• On robust fundamental theorems of asset pricing in discrete time
• American options under uncertain volatility
• Reduced-form framework under model uncertainty
• Model-independent no-arbitrage conditions on American put options
• Robust pricing and hedging around the globe
• A numerical method for hedging Bermudan options under model uncertainty
• No-arbitrage and hedging with liquid American options
• Pricing American Options: A Duality Approach
• UNCERTAINTY IN PRICING TRADABLE OPTIONS
• Valuation of American options in the presence of event risk
• American option pricing with imprecise risk-neutral probabilities
• Measures of model uncertainty and calibrated option bounds
• On hedging American options under model uncertainty

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