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

作者：Khametov V M^*; Shelemekh E A

来源：Automation and Remote Control, 2015, 76(9): 1616-1634.

DOI：10.1134/S0005117915090088

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.

• 出版日期2015-9