Extremal measures and hedging in American options View Full Text


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Article Info

DATE

2016-06

AUTHORS

V. M. Khametov, E. A. Shelemekh

ABSTRACT

We establish existence conditions for extremal probability measures, study their properties, and consider applications of such measures for solving the perfect hedging problem for American options on incomplete “frictionless” markets with finite horizon. We develop an algorithm for computing an American option and solve a corresponding new example with this algorithm. More... »

PAGES

1041-1059

Identifiers

URI

http://scigraph.springernature.com/pub.10.1134/s0005117916060084

DOI

http://dx.doi.org/10.1134/s0005117916060084

DIMENSIONS

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