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Avtomatika i Telemekhanika, 2015, Issue 9, Pages 125–149 (Mi at14286)  
This article is cited in 5 scientific papers (total in 5 papers)

Control in Social Economic Systems, Medicine, and Biology

Superhedging of American options on an incomplete market with discrete time and finite horizon

V. M. Khametova, E. A. Shelemekhb

a Moscow Institute of Electronics and Mathematics, National Research University "Higher School of Economics", Moscow, Russia
b Central Economics and Mathematics Institute, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (313 kB) Citations (5)
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Abstract: We establish an existence criterion for the decomposition that generalizes a wellknown uniform Doob decomposition to a set of equivalent probability measures. Based on this criterion, we obtain necessary and sufficient existence conditions for a minimal superhedging (with respect to any measure out of the set of equivalent measures) American option portfolio on an incomplete frictionless market with a finite number of risky assets, discrete time, and finite horizon. We give a sample construction of such a portfolio for an American option with an arbitrary bounded dynamical contingent claim on an incomplete market with one risky asset.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 15.07.2013
English version:
Automation and Remote Control, 2015, Volume 76, Issue 9, Pages 1616–1634
DOI: https://doi.org/10.1134/S0005117915090088
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. M. Khametov, E. A. Shelemekh, “Superhedging of American options on an incomplete market with discrete time and finite horizon”, Avtomat. i Telemekh., 2015, no. 9, 125–149; Autom. Remote Control, 76:9 (2015), 1616–1634
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2015/i9/p125
    • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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