Superhedging of American options on an incomplete market with discrete time and finite horizon View Full Text


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Article Info

DATE

2015-09

AUTHORS

V. M. Khametov, E. A. Shelemekh

ABSTRACT

We establish an existence criterion for the decomposition that generalizes a wellknown uniform Doob decomposition to a set of equivalent probability measures. Based on this criterion, we obtain necessary and sufficient existence conditions for a minimal superhedging (with respect to any measure out of the set of equivalent measures) American option portfolio on an incomplete frictionless market with a finite number of risky assets, discrete time, and finite horizon. We give a sample construction of such a portfolio for an American option with an arbitrary bounded dynamical contingent claim on an incomplete market with one risky asset. More... »

PAGES

1616-1634

Identifiers

URI

http://scigraph.springernature.com/pub.10.1134/s0005117915090088

DOI

http://dx.doi.org/10.1134/s0005117915090088

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1000715549


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