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Model-Independent No-Arbitrage Conditions On American Put Options

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  • Alexander M. G. Cox
  • Christoph Hoeggerl

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  • Alexander M. G. Cox & Christoph Hoeggerl, 2016. "Model-Independent No-Arbitrage Conditions On American Put Options," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 431-458, April.
    • Handle: RePEc:bla:mathfi:v:26:y:2016:i:2:p:431-458
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    File URL: http://hdl.handle.net/10.1111/mafi.2016.26.issue-2
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    Cited by:

    1. Anna Aksamit & Shuoqing Deng & Jan Obl'oj & Xiaolu Tan, 2016. "Robust pricing--hedging duality for American options in discrete time financial markets," Papers 1604.05517, arXiv.org, revised Apr 2017.
    2. Sergey Badikov & Mark H.A. Davis & Antoine Jacquier, 2021. "Perturbation analysis of sub/super hedging problems," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1240-1274, October.
    3. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
    4. Erhan Bayraktar & Zhou Zhou, 2019. "No-Arbitrage and Hedging with Liquid American Options," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 468-486, May.
    5. David Hobson & Dominykas Norgilas, 2019. "Robust bounds for the American put," Finance and Stochastics, Springer, vol. 23(2), pages 359-395, April.
    6. David Hobson & Anthony Neuberger, 2017. "Model uncertainty and the pricing of American options," Finance and Stochastics, Springer, vol. 21(1), pages 285-329, January.

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