Robust bounds for the American Put


We consider the problem of finding a model-free upper bound on the price of an American put given the prices of a family of European puts on the same underlying asset. Specifically we assume that the American put must be... [ view full abstract ]


  1. Dominykas Norgilas (University of Warwick)
  2. David Hobson (University of Warwick)

Topic Areas

Hedging , Optimal Transport , Robustness


TU-P-UI » American, Asian and Exotic Options (14:30 - Tuesday, 17th July, Ui Chadhain)

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