英文标题：
《Robust bounds for the American Put》
---
作者：
David Hobson and Dominykas Norgilas
---
最新提交年份：
2018
---
英文摘要：
  We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically we assume that the American put must be exercised at either $T_1$ or $T_2$ and that we know the prices of all vanilla European puts with these maturities. In this setting we find a model which is consistent with European put prices and an associated exercise time, for which the price of the American put is maximal. Moreover we derive a cheapest superhedge. The model associated with the highest price of the American put is constructed from the left-curtain martingale transport of Beiglb\\\"{o}ck and Juillet.
---
中文摘要：
考虑到相同标的资产上的一系列欧洲看跌期权的价格，我们考虑了寻找美国看跌期权价格的无模型上界的问题。具体而言，我们假设美式看跌期权必须以1美元T\\u或2美元T\\u行使，并且我们知道所有具有这些到期日的普通欧洲看跌期权的价格。在此背景下，我们发现了一个与欧洲看跌期权价格和相关行使时间一致的模型，其中美国看跌期权的价格是最大的。此外，我们推导出了最便宜的超边缘。与美式看跌期权的最高价格相关的模型是由Beiglb“{o}ck和Juillet的左幕鞅运输构造的。
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->