Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

Model uncertainty and the pricing of American options

Tools
- Tools
+ Tools

Hobson, David G. and Neuberger, Anthony (2017) Model uncertainty and the pricing of American options. Finance and Stochastics, 21 (1). pp. 285-329. doi:10.1007/s00780-016-0314-2

[img]
Preview
PDF
WRAP_voba160707 %28002%29.pdf - Accepted Version - Requires a PDF viewer.

Download (634Kb) | Preview
Official URL: http://doi.org/10.1007/s00780-016-0314-2

Request Changes to record.

Abstract

The virtue of an American option is that it can be exercised at any time. This right is particularly valuable when there is model uncertainty. Yet almost all the extensive literature on American options assumes away model uncertainty. This paper quantifies the potential value of this flexibility by identifying the supremum on the price of an American option when we do not impose a model, but rather consider the class of all models which are consistent with a family of European call prices. The bound is enforced by a hedging strategy involving these call options which is robust to model error.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Science, Engineering and Medicine > Science > Statistics
Library of Congress Subject Headings (LCSH): Options (Finance) -- Mathematical models -- United States, Hedging (Finance) -- Mathematical models -- United States
Journal or Publication Title: Finance and Stochastics
Publisher: Springer
ISSN: 0949-2984
Official Date: January 2017
Dates:
DateEvent
January 2017Published
13 July 2016Accepted
3 November 2016Available
Volume: 21
Number: 1
Page Range: pp. 285-329
DOI: 10.1007/s00780-016-0314-2
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access
Related URLs:
  • Publisher

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics

twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us