Utility Maximization When Shorting American Options

DOI10.1137/20M1320584zbMath1459.91209OpenAlexW3041001426MaRDI QIDQ5853611

Zhou Zhou

Publication date: 11 March 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1320584

zbMATH Keywords

robust utility maximizationrandomized stopping timeliquidating strategynonanticipative strategysemistatic trading strategyshorting American options

Mathematics Subject Classification ID

Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

HEDGING OF AMERICAN OPTIONS IN ILLIQUID MARKETS WITH PRICE IMPACTS

Cites Work

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• On the Multidimensional Controller-and-Stopper Games
• On Controller-Stopper Problems with Jumps and Their Applications to Indifference Pricing of American Options
• No-Arbitrage and Hedging with Liquid American Options
• The robust pricing–hedging duality for American options in discrete time financial markets
• Duality theory for optimal investments under model uncertainty
• Some Minimax Theorems.
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

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