The robust pricing–hedging duality for American options in discrete time financial markets (Q5241566)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: The robust pricing–hedging duality for American options in discrete time financial markets |
scientific article; zbMATH DE number 7125070
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The robust pricing–hedging duality for American options in discrete time financial markets |
scientific article; zbMATH DE number 7125070 |
Statements
The robust pricing–hedging duality for American options in discrete time financial markets (English)
0 references
31 October 2019
0 references
American option
0 references
dynamic programming principle
0 references
Kantorovich duality
0 references
martingale optimal transport
0 references
measure valued martingale
0 references
nondominated model
0 references
randomized stopping times
0 references
superreplication
0 references
weak formulation
0 references
