MARTINGALES AND UPPER BOUNDS FOR AMERICAN-STYLE OPTIONS

作者：Wang Yang^*; Caflisch Russel

来源：Communications in Mathematical Sciences, 2015, 13(3): 695-705.

DOI：10.4310/cms.2015.v13.n3.a5

• American option
• Martingale
• upper bound estimation
• dual pricing formula

This article presents an analytical representation of the 'optimal' Martingale that appears in the dual pricing formula for an American-style option, in a generic continuous setting. This representation has a hedging interpretation and could provide an approach for computing an upper bound on the price of an American-style option.

• 出版日期2015