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Robust Hedging of American Options via Aggregated Snell Envelopes

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  • Marco Rodrigues

Abstract

We construct an aggregator for a family of Snell envelopes in a nondominated framework. We apply this construction to establish a robust hedging duality, along with the existence of a minimal hedging strategy, in a general semi-martingale setting for American-style options. Our results encompass continuous processes, or processes with jumps and non-vanishing diffusion. A key application is to financial market models, where uncertainty is quantified through the semi-martingale characteristics.

Suggested Citation

  • Marco Rodrigues, 2025. "Robust Hedging of American Options via Aggregated Snell Envelopes," Papers 2506.14553, arXiv.org.
    • Handle: RePEc:arx:papers:2506.14553
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    References listed on IDEAS

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