Super-Hedging American Options with Semi-Static Trading Strategies Under Model Uncertainty
8 Pages
Posted: 28 May 2016
University of Michigan at Ann Arbor - Department of Mathematics
University of Minnesota - Twin Cities
Date Written: May 27, 2016
Abstract
We consider the super-hedging price of an American option in a discrete-time market in which stocks are available for dynamic trading and European options are available for static trading. We show that the super-hedging price is given by the supremum over the prices of the American option under randomized models.
Keywords: American options, super-hedging, model uncertainty, semi-static trading strategies, randomized models
Suggested Citation:
Suggested Citation
Bayraktar, Erhan and Zhou, Zhou, Super-Hedging American Options with Semi-Static Trading Strategies Under Model Uncertainty (May 27, 2016). Available at SSRN: https://ssrn.com/abstract=2785625 or http://dx.doi.org/10.2139/ssrn.2785625
