The robust pricing–hedging duality for American options in discrete time financial markets

DOI10.1111/mafi.12199zbMath1432.91116arXiv1604.05517OpenAlexW2963071318WikidataQ129160824 ScholiaQ129160824MaRDI QIDQ5241566

Jan Obłój, Anna Aksamit, Shuoqing Deng, Xiaolu Tan

Publication date: 31 October 2019

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

Full work available at URL: https://arxiv.org/abs/1604.05517

zbMATH Keywords

weak formulationsuperreplicationAmerican optionKantorovich dualityrandomized stopping timesdynamic programming principlemartingale optimal transportnondominated modelmeasure valued martingale

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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