The robust pricing–hedging duality for American options in discrete time financial markets

The robust pricing–hedging duality for American options in discrete time financial markets

We investigate the pricing–hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, for example, a family of European options, only statically. In the first part of the paper, we consider an abstract setting, which includes the class...

Descrizione completa

Dettagli Bibliografici
Autori principali:	Aksamit, A, Deng, S, Obłój, J, Tan, X
Natura:	Journal article
Pubblicazione:	Wiley 2018

Documenti analoghi

Robust pricing–hedging dualities in continuous time
di: Hou, Z, et al.
Pubblicazione: (2018)

On robust pricing--hedging duality in continuous time
di: Hou, Z, et al.
Pubblicazione: (2015)

Robust framework for quantifying the value of information in pricing and hedging
di: Aksamit, A, et al.
Pubblicazione: (2020)

Robust pricing and hedging of double no-touch options
di: Cox, A, et al.
Pubblicazione: (2009)

Robust pricing and hedging of double no-touch options.
di: Cox, A, et al.
Pubblicazione: (2009)

Robust pricing and hedging of options on multiple assets and its numerics
di: Eckstein, S, et al.
Pubblicazione: (2021)

Robust hedging of double touch barrier options
di: Cox, A, et al.
Pubblicazione: (2008)

PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS
di: Obloj, J, et al.
Pubblicazione: (2012)

Pricing American options : a duality approach
di: Kogan, Leonid, et al.
Pubblicazione: (2009)

A robust approach to pricing-hedging duality and related problems in mathematical finance
di: Hou, Z
Pubblicazione: (2016)

The Models of Pricing for the Financial Options as the Instruments of Risks Hedging
di: Kliuchka Olha V., et al.
Pubblicazione: (2019-02-01)

Robust pricing and hedging under trading restrictions and the emergence of local martingale models
di: Cox, A, et al.
Pubblicazione: (2016)

On Root's Barriers and Their Applications in Robust Pricing and Hedging of Variance Options
di: Huang, D
Pubblicazione: (2012)

Pricing of Proactive Hedging European Option with Dynamic Discrete Position Strategy
di: Meng Li, et al.
Pubblicazione: (2019-01-01)

Option pricing and hedging with market friction using reinforcement learning
di: Jiang, Zixing
Pubblicazione: (2024)

A Robust Approach to Hedging and Pricing in Imperfect Markets
di: Hirbod Assa, et al.
Pubblicazione: (2017-07-01)

Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
di: Obłój, JK, et al.
Pubblicazione: (2021)

Robust Hedging of Variance Swaps: Discrete Sampling & Co-maturing European Options
di: Zhang, C
Pubblicazione: (2012)

Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
di: Pornnapat Yamphram, et al.
Pubblicazione: (2023-02-01)

Semi-robust static Hedging of Barrier Options
di: Gesell, S
Pubblicazione: (2011)

Applications of Malliavin calculus to the pricing and hedging of Bermudan options
di: Newbury, J
Pubblicazione: (2011)

Pricing and hedging of a general kind of multiasset option
di: Silvia Romagnoli, et al.
Pubblicazione: (2007-10-01)

Robust hedging of digital double touch barrier options
di: Hao, N
Pubblicazione: (2009)

Robust pricing and hedging beyond one marginal
di: Spoida, P
Pubblicazione: (2014)

Optimal Hedging and Pricing of Equity-Linked Life Insurance Contracts in a Discrete-Time Incomplete Market
di: Norman Josephy, et al.
Pubblicazione: (2011-01-01)

Strategic Timing in Financial Markets: Real Options Analysis of American Options
di: Gilles Tamba Bokolo, et al.
Pubblicazione: (2024-12-01)

Liquidity of financial options on GARCH option pricing in AMEX option market
di: Han-Ching Huang, et al.
Pubblicazione: (2017-03-01)

Using Price Gaps for Hedging Prices and Making Financial Decisions
di: Badura Peter
Pubblicazione: (2020-01-01)

A portfolio approach to risk reduction in discretely rebalanced option hedges
di: Bhushan, Ravi, et al.
Pubblicazione: (2009)

New Methods with Capped Options for Pricing American Options
di: Dongya Deng, et al.
Pubblicazione: (2014-01-01)

Robust estimation of superhedging prices
di: Obloj, J, et al.
Pubblicazione: (2021)

Robust estimation of superhedging prices
di: Obloj, J, et al.
Pubblicazione: (2020)

Price Uncertainty and Optimal Hedging in the Agricultural Market
di: Nicolae ISTUDOR, et al.
Pubblicazione: (2014-06-01)

An empirical comparison of hedging strategies with financial futures and options on futures
di: Ramin Cooper Maysami,
Pubblicazione: (1995)

An Option Pricing Formula for Active Hedging Under Logarithmic Investment Strategy
di: Minting Zhu, et al.
Pubblicazione: (2024-12-01)

Proactive Hedging European Call Option Pricing with Linear Position Strategy
di: Meng Li, et al.
Pubblicazione: (2018-01-01)

Risk-neutral valuation : pricing and hedging of financial derivatives /
di: 304837 Bingham, N.H., et al.
Pubblicazione: (2004)

A Robust Spline Collocation Method for Pricing American Put Options
di: Zhongdi Cen, et al.
Pubblicazione: (2019-01-01)

Pointwise arbitrage pricing theory in discrete time
di: Burzoni, M, et al.
Pubblicazione: (2019)

Market completion using options
di: Davis, M, et al.
Pubblicazione: (2007)