Extremal measures and hedging in American options

DOI10.1134/S0005117916060084zbMath1346.93400OpenAlexW2428491300MaRDI QIDQ315185

E. A. Shelemekh, V. M. Khametov

Publication date: 19 September 2016

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117916060084

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Existence conditions for extremal probability measures on Polish spaces and some of their properties ⋮ Upper and lower bounds of optimal stopping for a random sequence: the case of finite horizon

Cites Work

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• Superhedging of American options on an incomplete market with discrete time and finite horizon
• A unified framework for utility maximization problems: An Orlicz space approach
• Conditions for the discreteness of extremal probability measures (the finite-dimensional case)
• Saddle points of Hamiltonian systems in convex problems of Lagrange
• Equivalent supermartingale densities and measures in discrete time infinite horizon market models
• Stochastic finance. An introduction in discrete time

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