Matches in SemOpenAlex for { <https://semopenalex.org/work/W2338852012> ?p ?o ?g. }
Showing items 1 to 80 of
80
with 100 items per page.
- W2338852012 abstract "We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options, only statically. In the first part of the paper we consider an abstract setting, which includes the classical case with a fixed reference probability measure as well as the robust framework with a non-dominated family of probability measures. Our first insight is that by considering a (universal) enlargement of the space, we can see American options as European options and recover the pricing-hedging duality, which may fail in the original formulation. This may be seen as a weak formulation of the original problem. Our second insight is that lack of duality is caused by the lack of dynamic consistency and hence a different enlargement with dynamic consistency is sufficient to recover duality: it is enough to consider (fictitious) extensions of the market in which all the assets are traded dynamically. In the second part of the paper we study two important examples of robust framework: the setup of Bouchard and Nutz (2015) and the martingale optimal transport setup of Beiglbock et al. (2013), and show that our general results apply in both cases and allow us to obtain pricing-hedging duality for American options." @default.
- W2338852012 created "2016-06-24" @default.
- W2338852012 creator A5022499632 @default.
- W2338852012 creator A5050247384 @default.
- W2338852012 date "2016-04-19" @default.
- W2338852012 modified "2023-09-23" @default.
- W2338852012 title "Duality in nondominated discrete-time models for Americain options" @default.
- W2338852012 hasPublicationYear "2016" @default.
- W2338852012 type Work @default.
- W2338852012 sameAs 2338852012 @default.
- W2338852012 citedByCount "1" @default.
- W2338852012 countsByYear W23388520122016 @default.
- W2338852012 crossrefType "posted-content" @default.
- W2338852012 hasAuthorship W2338852012A5022499632 @default.
- W2338852012 hasAuthorship W2338852012A5050247384 @default.
- W2338852012 hasConcept C10138342 @default.
- W2338852012 hasConcept C105795698 @default.
- W2338852012 hasConcept C11534374 @default.
- W2338852012 hasConcept C118615104 @default.
- W2338852012 hasConcept C126255220 @default.
- W2338852012 hasConcept C144237770 @default.
- W2338852012 hasConcept C149782125 @default.
- W2338852012 hasConcept C162324750 @default.
- W2338852012 hasConcept C194483076 @default.
- W2338852012 hasConcept C202444582 @default.
- W2338852012 hasConcept C21031990 @default.
- W2338852012 hasConcept C2776436953 @default.
- W2338852012 hasConcept C2778023678 @default.
- W2338852012 hasConcept C28826006 @default.
- W2338852012 hasConcept C33923547 @default.
- W2338852012 hasConcept C48406656 @default.
- W2338852012 hasConcept C55689738 @default.
- W2338852012 hasConcept C58435881 @default.
- W2338852012 hasConcept C76374431 @default.
- W2338852012 hasConceptScore W2338852012C10138342 @default.
- W2338852012 hasConceptScore W2338852012C105795698 @default.
- W2338852012 hasConceptScore W2338852012C11534374 @default.
- W2338852012 hasConceptScore W2338852012C118615104 @default.
- W2338852012 hasConceptScore W2338852012C126255220 @default.
- W2338852012 hasConceptScore W2338852012C144237770 @default.
- W2338852012 hasConceptScore W2338852012C149782125 @default.
- W2338852012 hasConceptScore W2338852012C162324750 @default.
- W2338852012 hasConceptScore W2338852012C194483076 @default.
- W2338852012 hasConceptScore W2338852012C202444582 @default.
- W2338852012 hasConceptScore W2338852012C21031990 @default.
- W2338852012 hasConceptScore W2338852012C2776436953 @default.
- W2338852012 hasConceptScore W2338852012C2778023678 @default.
- W2338852012 hasConceptScore W2338852012C28826006 @default.
- W2338852012 hasConceptScore W2338852012C33923547 @default.
- W2338852012 hasConceptScore W2338852012C48406656 @default.
- W2338852012 hasConceptScore W2338852012C55689738 @default.
- W2338852012 hasConceptScore W2338852012C58435881 @default.
- W2338852012 hasConceptScore W2338852012C76374431 @default.
- W2338852012 hasLocation W23388520121 @default.
- W2338852012 hasOpenAccess W2338852012 @default.
- W2338852012 hasPrimaryLocation W23388520121 @default.
- W2338852012 hasRelatedWork W1708224684 @default.
- W2338852012 hasRelatedWork W185418963 @default.
- W2338852012 hasRelatedWork W2165028571 @default.
- W2338852012 hasRelatedWork W2284353765 @default.
- W2338852012 hasRelatedWork W2295941433 @default.
- W2338852012 hasRelatedWork W2562134586 @default.
- W2338852012 hasRelatedWork W2807670743 @default.
- W2338852012 hasRelatedWork W2887165319 @default.
- W2338852012 hasRelatedWork W2963071318 @default.
- W2338852012 hasRelatedWork W3110265686 @default.
- W2338852012 hasRelatedWork W3121922294 @default.
- W2338852012 hasRelatedWork W3122206161 @default.
- W2338852012 hasRelatedWork W3122933860 @default.
- W2338852012 hasRelatedWork W3123632453 @default.
- W2338852012 hasRelatedWork W3124916374 @default.
- W2338852012 hasRelatedWork W3125271351 @default.
- W2338852012 hasRelatedWork W3125853717 @default.
- W2338852012 hasRelatedWork W3125963570 @default.
- W2338852012 hasRelatedWork W3135758780 @default.
- W2338852012 hasRelatedWork W3148148689 @default.
- W2338852012 isParatext "false" @default.
- W2338852012 isRetracted "false" @default.
- W2338852012 magId "2338852012" @default.
- W2338852012 workType "article" @default.