SU\G(饾敻)/K路U

Optimal exercise decision of American options under model uncertainty

Tongseok Lim

Type: Preprint

Publication Date: 2023-01-01

Citations: 0

DOI: https://doi.org/10.48550/arxiv.2310.14473

Locations

  • arXiv (Cornell University) - View
  • DataCite API - View

Similar Works

Action Title Year Authors
+ Maximizing expected utility in the Arbitrage Pricing Model 2015 Mikl贸s R谩sonyi
+ Maximizing expected utility in the Arbitrage Pricing Model 2015 Mikl贸s R谩sonyi
+ On intermediate Marginals in Martingale Optimal Transportation 2023 Julian Sester
+ PDF Chat On Intermediate Marginals in Martingale Optimal Transportation 2020 Julian Sester
+ Robust bounds for the American Put 2017 David Hobson
Dominykas Norgilas
+ Geometry of multi-marginal martingale optimal transportations and duality 2016 Tongseok Lim
+ Robust bounds for the American Put 2017 David Hobson
Dominykas Norgilas
+ PDF Chat Arbitrage-free modeling under Knightian uncertainty 2020 Matteo Burzoni
Marco Maggis
+ PDF Chat Martingale Optimal Transport with Stopping 2017 Erhan Bayraktar
Alexander M. G. Cox
Yavor I. Stoev
+ On optimal strategies for utility maximizers in the Arbitrage Pricing Model 2016 Mikl贸s R谩sonyi
+ On optimal strategies for utility maximizers in the Arbitrage Pricing Model 2016 Mikl贸s R谩sonyi
+ PDF Chat ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL 2016 Mikl贸s R谩sonyi
+ Optimal transportation under controlled stochastic dynamics 2013 Xiaolu Tan
Nizar Touzi
+ Maximizing expected utility in the Arbitrage Pricing Model 2017 Mikl贸s R谩sonyi
+ Geometry of vectorial martingale optimal transportations and duality 2016 Tongseok Lim
+ PDF Chat Model-Free Price Bounds Under Dynamic Option Trading 2021 Ariel Neufeld
Julian Sester
+ Pricing American Options by Exercise Rate Optimization 2018 Christian Bayer
Ra煤l Tempone
S枚ren Wolfers
+ Pricing American Options by Exercise Rate Optimization 2018 Christian Bayer
Ra煤l Tempone
S枚ren Wolfers
+ Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options 2014 Peter Spoida
+ Characterization of Market Models in the Presence of Traded Vanilla and Barrier Options 2014 Peter Spoida

Works That Cite This (0)

Action Title Year Authors

Works Cited by This (0)

Action Title Year Authors