Convex duality for partial hedging of American options: continuous price processes

DOI10.1007/s11117-023-00993-7zbMath1520.91407OpenAlexW4377194494MaRDI QIDQ6111062

Erick Treviño Aguilar, Ari-Pekka Perkkiö

Publication date: 6 July 2023

Published in: Positivity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11117-023-00993-7

zbMATH Keywords

normal integrandsAmerican optionsconvex dualitypartial hedging

Mathematics Subject Classification ID

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

Cites Work

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• A filtered version of the bipolar theorem of Brannath and Schachermayer

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