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Super-hedging Prices of American Options
时间  Datetime
 
地点  Venue
报告人  Speaker
Zhou Zhou
单位  Affiliation
University of Minnesota
邀请人  Host
Jianshu Li
报告摘要  Abstract
We consider the super-hedging price of an American option in a financial market in which stocks are available for dynamic trading and European options are available for static trading. The market may admit non-dominated model uncertainty. We discuss several alternative definitions for the super-hedging price, and argue why our choice is more reasonable. We provide and compare several dualities for the super-hedging price. We also prove the existence of an optimal hedging strategy.