SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY

DOI10.1142/S0219024917500364zbMath1396.91716arXiv1604.04608MaRDI QIDQ5367496

Erhan Bayraktar, Zhou Zhou

Publication date: 13 October 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.04608

zbMATH Keywords

American optionsmodel uncertaintysuper-hedgingsemi-static trading strategiesrandomized models

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

Pathwise superhedging under proportional transaction costs ⋮ Pointwise Arbitrage Pricing Theory in Discrete Time ⋮ MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING ⋮ Corrigendum to: ``Second-order reflected backward stochastic differential equations and ``Second-order BSDEs with general reflection and game options under uncertainty ⋮ Robust pricing and hedging around the globe ⋮ No-Arbitrage and Hedging with Liquid American Options ⋮ Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation

Cites Work

• Model uncertainty and the pricing of American options
• Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
• A non-compact minimax theorem
• Arbitrage and duality in nondominated discrete-time models
• No-Arbitrage and Hedging with Liquid American Options
• On Hedging American Options under Model Uncertainty

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