Superhedging of American options on an incomplete market with discrete time and finite horizon

DOI10.1134/S0005117915090088zbMath1327.91061OpenAlexW2288542183MaRDI QIDQ904452

E. A. Shelemekh, V. M. Khametov

Publication date: 13 January 2016

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

Full work available at URL: https://doi.org/10.1134/s0005117915090088

Mathematics Subject Classification ID

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

Related Items (3)

Extremal measures and hedging in American options ⋮ Optimal control of a discrete-time stochastic system with a probabilistic criterion and a non-fixed terminal time ⋮ Upper and lower bounds of optimal stopping for a random sequence: the case of finite horizon

Cites Work

• Stochastic Finance
• Regular Conditional Expectations of Correspondences
• Unnamed Item

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