Robust bounds for the American put
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-019-00385-4.pdf
Reference29 articles.
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3. Bayraktar, E., Huang, Y.J., Zhou, Z.: On hedging American options under model uncertainty. SIAM J. Financ. Math. 6, 425–447 (2015)
4. Beiglböck, M., Juillet, N.: On a problem of optimal transport under marginal martingale constraints. Ann. Probab. 44, 42–106 (2016)
5. Beiglböck, M., Henry-Labordère, P., Penkner, F.: Model-independent bounds for option prices—a mass transport approach. Finance Stoch. 17, 477–501 (2013)
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