Arbitrage, hedging and utility maximization using semi-static trading strategies with American options

DOI10.1214/16-AAP1184zbMath1357.91046arXiv1502.06681OpenAlexW3125400993WikidataQ86254402 ScholiaQ86254402MaRDI QIDQ511478

Erhan Bayraktar, Zhou Zhou

Publication date: 21 February 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.06681

zbMATH Keywords

asset pricingAmerican optionsutility maximizationhedging dualitysemi-static trading strategies

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY ⋮ No-Arbitrage and Hedging with Liquid American Options ⋮ Time Consistent Stopping for the Mean-Standard Deviation Problem---The Discrete Time Case ⋮ Utility Maximization When Shorting American Options

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