英文标题：
《Minimax theorems for American options in incomplete markets without
time-consistency》
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作者：
Denis Belomestny, Volker Kraetschmer
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最新提交年份：
2017
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英文摘要：
In this paper we give sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope with respect to a family of absolutely continuous probability measures. Such minimax results play an important role in the characterisation of arbitrage-free prices of American contingent claims in incomplete markets. Our conditions do not rely on the notions of stability under pasting or time-consistency and reveal some unexpected connection between the minimax result and the path properties of the corresponding density process.
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中文摘要：
本文给出了关于一类绝对连续概率测度下Snell包络的极大极小定理有效性的充分条件。这种极大极小结果在描述不完全市场中美国未定权益的无套利价格方面起着重要作用。我们的条件不依赖于粘贴下的稳定性或时间一致性的概念，并且揭示了极大极小结果与相应密度过程的路径属性之间的一些意外联系。
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分类信息：

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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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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