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dc.contributor.authorDeng, Shuoqing
dc.contributor.authorTan, Xiaolu
dc.contributor.authorAksamit, Anna
dc.contributor.authorObloj , Jan
dc.date.accessioned2017-11-28T13:16:27Z
dc.date.available2017-11-28T13:16:27Z
dc.date.issued2017
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17090
dc.language.isoenen
dc.subjectSuper-replication
dc.subjectAmerican option
dc.subjectnondominated model
dc.subjectmartingale
dc.subjectoptimal transport
dc.subjectKantorovich duality
dc.subject.ddc519en
dc.titleRobust pricing-hedging duality for American options in discrete time financial markets
dc.typeDocument de travail / Working paper
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.identifier.citationpages19
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphine
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01429550
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-12-15T15:36:48Z
hal.person.labIds60
hal.person.labIds60
hal.person.labIds51601
hal.person.labIds51601


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