Minimax theorems for American options without time-consistency
Denis Belomestny, Tobias Hübner, Volker Krätschmer, Sascha Nolte
| Year of publication: |
2019
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|---|---|
| Authors: | Belomestny, Denis ; Hübner, Tobias ; Krätschmer, Volker ; Nolte, Sascha |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 23.2019, 1, p. 209-238
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| Subject: | Minimax | Lower Snell envelope | Time-consistency | Nearly sub-Gaussian random fields | Metric entropies | Simons’ lemma | Entropie | Entropy | Zeitkonsistenz | Time consistency | Entscheidung unter Unsicherheit | Decision under uncertainty | Optionspreistheorie | Option pricing theory | Experiment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-0378-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012023712