ROBUST PRICING AND HEDGING AROUND THE GLOBE

• 成果类型: Article
• 署名作者: Herrmann, Sebastian; Stebegg, Florian
• 署名单位: University of Michigan System; University of Michigan; Columbia University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/19-AAP1482
• 发表日期: 2019
• 页码: 3348-3386
• 关键词: martingale optimal transport; American options; Duality; bounds

摘要

We consider the martingale optimal transport duality for cadlag processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semistatic superhedging strategies) are proved for a class of payoffs that includes American, Asian, Bermudan and European options with intermediate maturity. We exhibit an optimal superhedging strategy for which the static part solves an auxiliary problem and the dynamic part is given explicitly in terms of the static part.