On Hedging American Options under Model Uncertainty
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/140961869
Reference10 articles.
1. On the Robust Optimal Stopping Problem
2. Model-independent bounds for option prices—a mass transport approach
3. Arbitrage and duality in nondominated discrete-time models
4. THE RANGE OF TRADED OPTION PRICES
5. Hedging of game options under model uncertainty in discrete time
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