

























We construct an aggregator for a family of Snell envelopes in a nondominated framework. We apply this construction to establish a robust hedging duality, along with the existence of a minimal hedging strategy, in a general semi-martingale setting for American-style options. Our results encompass continuous processes, or processes with jumps and non-vanishing diffusion. A key application is to financial market models, where uncertainty is quantified through the semi-martingale characteristics.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。