Minimax theorems for American options without time-consistency

DOI10.1007/s00780-018-0378-2zbMath1430.91105OpenAlexW2903121950WikidataQ128878621 ScholiaQ128878621MaRDI QIDQ1711726

Tobias Hübner, Denis Belomestny, Sascha Nolte, Volker Krätschmer

Publication date: 18 January 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-018-0378-2

zbMATH Keywords

minimaxtime-consistencymetric entropieslower Snell envelopenearly sub-Gaussian random field

Mathematics Subject Classification ID

Random fields (60G60) Minimax problems in mathematical programming (90C47) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57) Martingales and classical analysis (60G46)

Related Items (2)

Solving optimal stopping problems under model uncertainty via empirical dual optimisation ⋮ The lower Snell envelope of smooth functions: an optional decomposition

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