英文标题：
《Super-hedging American Options with Semi-static Trading Strategies under
Model Uncertainty》
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作者：
Erhan Bayraktar and Zhou Zhou
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最新提交年份：
2017
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英文摘要：
We consider the super-hedging price of an American option in a discrete-time market in which stocks are available for dynamic trading and European options are available for static trading. We show that the super-hedging price $\\pi$ is given by the supremum over the prices of the American option under randomized models. That is, $\\pi=\\sup_{(c_i,Q_i)_i}\\sum_ic_i\\phi^{Q_i}$, where $c_i \\in \\mathbb{R}_+$ and the martingale measure $Q^i$ are chosen such that $\\sum_i c_i=1$ and $\\sum_i c_iQ_i$ prices the European options correctly, and $\\phi^{Q_i}$ is the price of the American option under the model $Q_i$. Our result generalizes the example given in ArXiv:1604.02274 that the highest model based price can be considered as a randomization over models.
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中文摘要：
我们考虑离散时间市场中美式期权的超级套期保值价格，其中股票可用于动态交易，欧式期权可用于静态交易。我们证明了在随机模型下，超套期保值价格$\\pi$由美式期权价格的上确界给出。也就是说，$\\pi=\\sup_{（c_i，Q_i）i}\\sum_ic_i\\phi^{Q_i}$，其中$c_i\\in\\mathbb{R}{u+$和鞅测度$Q^i$的选择应确保$\\sum_i c_i=1$和$\\sum_i c_iQ_$i$正确地为欧洲期权定价，而$\\phi Q{i$i$i是美国期权模型下的价格。我们的结果推广了ArXiv:1604.02274中给出的例子，即基于模型的最高价格可以被视为模型的随机化。
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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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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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