{"paper":{"title":"Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.PR"],"primary_cat":"q-fin.MF","authors_text":"Erhan Bayraktar, Zhou Zhou","submitted_at":"2016-04-15T19:28:36Z","abstract_excerpt":"We consider the super-hedging price of an American option in a discrete-time market in which stocks are available for dynamic trading and European options are available for static trading. We show that the super-hedging price $\\pi$ is given by the supremum over the prices of the American option under randomized models. That is, $\\pi=\\sup_{(c_i,Q_i)_i}\\sum_ic_i\\phi^{Q_i}$, where $c_i \\in \\mathbb{R}_+$ and the martingale measure $Q^i$ are chosen such that $\\sum_i c_i=1$ and $\\sum_i c_iQ_i$ prices the European options correctly, and $\\phi^{Q_i}$ is the price of the American option under the model"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1604.04608","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}