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...
| Auteurs principaux: | , , , |
|---|---|
| Format: | Journal article |
| Publié: |
Wiley
2018
|