No-Arbitrage and Hedging with Liquid American Options
Author:
Affiliation:
1. Department of Mathematics, University of Michigan, Ann Arbor, Michigan 48109
2. School of Mathematics and Statistics, University of Sydney, Camperdown NSW 2006, Australia
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Computer Science Applications,General Mathematics
Reference14 articles.
1. A MODEL-FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER-REPLICATION THEOREM
2. Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
3. SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY
4. On Hedging American Options under Model Uncertainty
5. A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty
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