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- W2898706476 abstract "Abstract In this paper, we develop robust and model‐free upper bounds for American put option prices. Our bounds have all of those appealing features of the upper bounds for European options provided in DeMarzo et al. (2016, Robust option pricing: Hannan and Blackwell meet Black and Scholes, Journal of Economic Theory, 410‐434) but cover more popular derivatives in practice. Numerical and empirical investigations illustrate the performance of our method." @default.
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- W2898706476 date "2018-10-31" @default.
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- W2898706476 title "Robust upper bounds for American put options" @default.
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- W2898706476 doi "https://doi.org/10.1002/fut.21961" @default.
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