The robust pricing–hedging duality for American options in discrete time financial markets
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DOI: 10.1111/mafi.12199
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Citations
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Cited by:
- Xuwei Yang & Anastasis Kratsios & Florian Krach & Matheus Grasselli & Aurelien Lucchi, 2023. "Regret-Optimal Federated Transfer Learning for Kernel Regression with Applications in American Option Pricing," Papers 2309.04557, arXiv.org, revised Oct 2024.
- Bartl, Daniel, 2020. "Conditional nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 785-805.
- Hölzermann, Julian, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Center for Mathematical Economics Working Papers 633, Center for Mathematical Economics, Bielefeld University.
- Anna Aksamit & Ivan Guo & Shidan Liu & Zhou Zhou, 2021. "Superhedging duality for multi-action options under model uncertainty with information delay," Papers 2111.14502, arXiv.org, revised Nov 2023.
- Julian Holzermann, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Papers 2003.04606, arXiv.org, revised Nov 2021.
- Junichi Imai, 2022. "A Numerical Method for Hedging Bermudan Options under Model Uncertainty," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 893-916, June.
- Sester, Julian, 2024. "A multi-marginal c-convex duality theorem for martingale optimal transport," Statistics & Probability Letters, Elsevier, vol. 210(C).
- Tongseok Lim, 2023. "Optimal exercise decision of American options under model uncertainty," Papers 2310.14473, arXiv.org, revised Nov 2023.
- Erhan Bayraktar & Matteo Burzoni, 2020.
"On the quasi-sure superhedging duality with frictions,"
Finance and Stochastics, Springer, vol. 24(1), pages 249-275, January.
- Erhan Bayraktar & Matteo Burzoni, 2018. "On the quasi-sure superhedging duality with frictions," Papers 1809.07516, arXiv.org, revised Sep 2019.
- Mun-Chol Kim & Song-Chol Ryom, 2022. "Pathwise superhedging under proportional transaction costs," Mathematics and Financial Economics, Springer, volume 16, number 4, March.
- Ariel Neufeld & Julian Sester, 2021. "Model-free price bounds under dynamic option trading," Papers 2101.01024, arXiv.org, revised Jul 2021.
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