scholarly journals Dynamic Trading Strategies and Portfolio Choice

2004 ◽  
Author(s):  
Ravi Bansal ◽  
Magnus Dahlquist ◽  
Campbell Harvey
Keyword(s):  
Portfolio Choice ◽  
Trading Strategies ◽  
Dynamic Trading

scholarly journals Dynamic Trading Strategies and Portfolio Choice

2004 ◽  
Author(s):  
Ravi Bansal ◽  
Campbell R. Harvey ◽  
Magnus Dahlquist
Keyword(s):  
Portfolio Choice ◽  
Trading Strategies ◽  
Dynamic Trading

scholarly journals SUPER-HEDGING AMERICAN OPTIONS WITH SEMI-STATIC TRADING STRATEGIES UNDER MODEL UNCERTAINTY

2017 ◽  
Vol 20 (06) ◽  
pp. 1750036 ◽  
Author(s):  
ERHAN BAYRAKTAR ◽  
ZHOU ZHOU
Keyword(s):  
Discrete Time ◽  
Model Uncertainty ◽  
American Options ◽  
American Option ◽  
Trading Strategies ◽  
Martingale Measure ◽  
European Options ◽  
Model Based ◽  
Price Formula ◽  
Dynamic Trading

We consider the super-hedging price of an American option in a discrete-time market in which stocks are available for dynamic trading and European options are available for static trading. We show that the super-hedging price [Formula: see text] is given by the supremum over the prices of the American option under randomized models. That is, [Formula: see text], where [Formula: see text] and the martingale measure [Formula: see text] are chosen such that [Formula: see text] and [Formula: see text] prices the European options correctly, and [Formula: see text] is the price of the American option under the model [Formula: see text]. Our result generalizes the example given in Hobson & Neuberger (2016) that the highest model-based price can be considered as a randomization over models.

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