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

dc.contributor.authorAksamit, Anna
dc.contributor.authorDeng, Shuoqing
dc.contributor.authorObloj , Jan
dc.contributor.authorTan, Xiaolu
dc.date.accessioned2023-02-23T13:32:49Z
dc.date.available2023-02-23T13:32:49Z
dc.date.issued2019
dc.identifier.issn0960-1627
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/24423
dc.language.isoenen
dc.subjectSuper-replication
dc.subjectAmerican option
dc.subjectnondominated model
dc.subjectmartingale
dc.subjectoptimal transport
dc.subjectKantorovich duality
dc.subject.ddc519en
dc.titleThe robust pricing–hedging duality for American options in discrete time financial markets
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe aim to generalize the duality results of Bouchard & Nutz [10] to the case of American options. By introducing an enlarged canonical space, we reformulate the superhedging problem for American options as a problem for European options. Then in a discrete time market with finitely many liquid options, we show that the minimum superhedging cost of an American option equals to the supremum of the expectation of the payoff at all (weak) stopping times and under a suitable family of martingale measures. Moreover, by taking the limit on the number of liquid options, we obtain a new class of martingale optimal transport problems as well as a Kantorovich duality result.
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol29
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2019
dc.relation.isversionofjnlpages861-897
dc.relation.isversionofdoi10.1111/mafi.12199
dc.relation.isversionofjnlpublisherWiley
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2023-02-23T14:26:12Z


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