Minimax theorems for American options in incomplete markets without time-consistency

Denis Belomestny and Volker Kraetschmer

Papers from arXiv.org

Abstract: In this paper we give sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope with respect to a family of absolutely continuous probability measures. Such minimax results play an important role in the characterisation of arbitrage-free prices of American contingent claims in incomplete markets. Our conditions do not rely on the notions of stability under pasting or time-consistency and reveal some unexpected connection between the minimax result and the path properties of the corresponding density process.

Date: 2017-08
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1708.08904

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