Super-hedging American options with semi-static trading strategies under model uncertainty
Erhan Bayraktar, Zhou Zhou
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Bayraktar, Erhan ; Zhou, Zhou |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 6, p. 1-10
|
| Subject: | American options | super-hedging | model uncertainty | semi-static trading strategies | randomized models | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Risiko | Risk | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500364 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011734088