Robust bounds for the American Put
| Autor: | Hobson, David, Norgilas, Dominykas |
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| Rok vydání: | 2017 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | 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 exercised at either $T_1$ or $T_2$ and that we know the prices of all vanilla European puts with these maturities. In this setting we find a model which is consistent with European put prices and an associated exercise time, for which the price of the American put is maximal. Moreover we derive a cheapest superhedge. The model associated with the highest price of the American put is constructed from the left-curtain martingale transport of Beiglb\"{o}ck and Juillet. Comment: 31 pages, 14 figures |
| Databáze: | arXiv |
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