Optimal stopping under model uncertainty and the regularity of lower Snell envelopes

DOI10.1080/14697688.2010.488653zbMath1279.91157OpenAlexW1972984900MaRDI QIDQ2869977

Erick Treviño Aguilar

Publication date: 17 January 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2010.488653

zbMATH Keywords

American optionsfinancial derivativescontinuous-time financederivatives analysis

Mathematics Subject Classification ID

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

Related Items (3)

Unnamed Item ⋮ Minimax theorems for American options without time-consistency ⋮ The lower Snell envelope of smooth functions: an optional decomposition

Cites Work

• On the pricing of American options
• Maxmin expected utility with non-unique prior
• Optional decompositions under constraints
• Hedging American contingent claims with constrained portfolios
• Recursive multiple-priors.
• Stochastic process measurability conditions
• Convex risk measures and the dynamics of their penalty functions
• Optimal Stopping With Multiple Priors
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov

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