2 papers
q-fin.MF2016
More on hedging American options under model uncertainty
David Hobson, Anthony Neuberger
The purpose of this note is to reconcile two different results concerning the model-free upper bound on the price of an American option, given a set of European option prices. Neub…
q-fin.MF2016
On the value of being American
David Hobson, Anthony Neuberger
The virtue of an American option is that it can be exercised at any time. This right is particularly valuable when there is model uncertainty. Yet almost all the extensive literatu…