Robust Hedging of American Options via Aggregated Snell Envelopes
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866916796927311872 |
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| author | Rodrigues, Marco |
| author_facet | Rodrigues, Marco |
| contents | We construct an aggregator for a family of Snell envelopes in a nondominated framework. We apply this construction to establish a robust hedging duality, along with the existence of a minimal hedging strategy, in a general semi-martingale setting for American-style options. Our results encompass continuous processes, or processes with jumps and non-vanishing diffusion. A key application is to financial market models, where uncertainty is quantified through the semi-martingale characteristics. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_14553 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Robust Hedging of American Options via Aggregated Snell Envelopes Rodrigues, Marco Mathematical Finance Optimization and Control Probability 60G40, 60G44, 91G20, 93E20 We construct an aggregator for a family of Snell envelopes in a nondominated framework. We apply this construction to establish a robust hedging duality, along with the existence of a minimal hedging strategy, in a general semi-martingale setting for American-style options. Our results encompass continuous processes, or processes with jumps and non-vanishing diffusion. A key application is to financial market models, where uncertainty is quantified through the semi-martingale characteristics. |
| title | Robust Hedging of American Options via Aggregated Snell Envelopes |
| topic | Mathematical Finance Optimization and Control Probability 60G40, 60G44, 91G20, 93E20 |
| url | https://arxiv.org/abs/2506.14553 |