Email this article Extremal measures and hedging in American options
- Authors: Khametov V.M.1,2, Shelemekh E.A.3
-
Affiliations:
- Moscow Institute of Electronics and Mathematics
- National Research University Higher School of Economics
- Central Economics and Mathematics Institute
- Issue: Vol 77, No 6 (2016)
- Pages: 1041-1059
- Section: Control in Social Economic Systems, Medicine, and Biology
- URL: https://journal-vniispk.ru/0005-1179/article/view/150362
- DOI: https://doi.org/10.1134/S0005117916060084
- ID: 150362
Cite item
Open Access
Access granted
Subscription Access
Abstract
We establish existence conditions for extremal probability measures, study their properties, and consider applications of such measures for solving the perfect hedging problem for American options on incomplete “frictionless” markets with finite horizon. We develop an algorithm for computing an American option and solve a corresponding new example with this algorithm.
About the authors
V. M. Khametov
Moscow Institute of Electronics and Mathematics; National Research University Higher School of Economics
Author for correspondence.
Email: khametovvm@mail.ru
Russian Federation, Moscow; Moscow
E. A. Shelemekh
Central Economics and Mathematics Institute
Email: khametovvm@mail.ru
Russian Federation, Moscow
Supplementary files
