Model-independent upper bounds for the prices of Bermudan options with convex payoffs

David Hobson, Dominykas Norgilas

Suppose $\mu$ and $\nu$ are probability measures on $\mathbb{R}$ satisfying $\mu {\le }_{cx}\nu$. Let $a$ and $b$ be convex functions on $\mathbb{R}$ with $a\ge b\ge 0$. We are intereste…