英文标题：
《More on hedging American options under model uncertainty》
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作者：
David Hobson and Anthony Neuberger
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最新提交年份：
2016
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英文摘要：
The purpose of this note is to reconcile two different results concerning the model-free upper bound on the price of an American option, given a set of European option prices. Neuberger (2007, `Bounds on the American option\') and Hobson and Neuberger (2016, `On the value of being American\') argue that the cost of the cheapest super-replicating strategy is equal to the highest model-based price, where we search over all models which price correctly the given European options. Bayraktar, Huang and Zhou (2015, `On hedging American options under model uncertainty\', SIAM J. Financial Math ematics) argue that the cost of the cheapest super-replicating strategy can strictly exceed the highest model-based price. We show that the reason for the difference in conclusion is that Bayraktar et al do not search over a rich enough class of models.
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中文摘要：
本文的目的是在给定一组欧式期权价格的情况下，调和关于美式期权价格的无模型上界的两个不同结果。Neuberger（2007年，《美国选择的界限》）和Hobson and Neuberger（2016年，《美国价值论》）认为，最便宜的超级复制策略的成本等于基于模型的最高价格，我们搜索所有正确定价给定欧洲选择的模型。Bayraktar，Huang和Zhou（2015，《关于模型不确定性下的美国期权套期保值》，暹罗J.金融数学ematics）认为，最便宜的超级复制策略的成本可以严格超过基于模型的最高价格。我们证明了结论差异的原因是Bayraktar等人没有搜索足够丰富的模型类。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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