No-Arbitrage and Hedging with Liquid American Options

DOI10.1287/moor.2018.0932zbMath1433.91169arXiv1605.01327OpenAlexW3124320429MaRDI QIDQ5219726

Erhan Bayraktar, Zhou Zhou

Publication date: 12 March 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.01327

zbMATH Keywords

fundamental theorem of asset pricingliquid American optionssemistatic trading strategiessubhedging/superhedging dualities

Mathematics Subject Classification ID

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 ⋮ On the quasi-sure superhedging duality with frictions ⋮ Time Consistent Stopping for the Mean-Standard Deviation Problem---The Discrete Time Case ⋮ Utility Maximization When Shorting American Options

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• On Hedging American Options under Model Uncertainty
• SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY
• Some Minimax Theorems.

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