Super-Hedging American Options with Semi-Static Trading Strategies Under Model Uncertainty
8 Pages Posted: 28 May 2016
Date Written: May 27, 2016
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
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