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SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY - MaRDI portal

SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY (Q5367496)

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scientific article; zbMATH DE number 6790986
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English
SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY
scientific article; zbMATH DE number 6790986

    Statements

    title
    SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY (English)
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    author
    Erhan Bayraktar
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    Zhou Zhou
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    publication date
    13 October 2017
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    zbMATH Keywords
    American options
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    super-hedging
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    model uncertainty
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    semi-static trading strategies
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    randomized models
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    60G42
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    zbMATH DE Number
    6790986
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    arXiv ID
    1604.04608
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