Martingales and upper bounds for American-style options

Yang Wang; Russel Caflisch

doi:10.4310/CMS.2015.v13.n3.a5

Martingales and upper bounds for American-style options

Yang Wang, Russel Caflisch

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English (US)
Pages (from-to)	695-705
Number of pages	11
Journal	Communications in Mathematical Sciences
Volume	13
Issue number	3
DOIs	https://doi.org/10.4310/CMS.2015.v13.n3.a5
State	Published - 2015

Keywords

American option
Dual pricing formula
Martingale
Upper bound estimation

ASJC Scopus subject areas

General Mathematics
Applied Mathematics

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10.4310/CMS.2015.v13.n3.a5

Cite this

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title = "Martingales and upper bounds for American-style options",

abstract = "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.",

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Martingales and upper bounds for American-style options

Abstract

Keywords

ASJC Scopus subject areas

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