2 papers
q-fin.MF2025
Robust Pricing and Hedging of American Options in Continuous Time
Ivan Guo, Jan Obłój
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model u…
math.OC2016
Robust pricing--hedging duality for American options in discrete time financial markets
Anna Aksamit, Shuoqing Deng, Jan Obłój +1
We investigate pricing-hedging duality for American options in discrete time financial models where some assets are traded dynamically and others, e.g. a family of European options…