2017/08/29 by Denis Belomestny, Belomestny, Denis, Volker Kraetschmer +1
Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Monetary Policy and Economic Impact #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1708.08904
openalex publication_date 2017/08/29 · openalex created_date 2022/10/02 · openalex updated_date 2026/07/28
In this paper we give sufficient conditions guaranteeing the validity of the\nwell-known minimax theorem for the lower Snell envelope with respect to a\nfamily of absolutely continuous probability measures. Such minimax results play\nan important role in the characterisation of arbitrage-free prices of American\ncontingent claims in incomplete markets. Our conditions do not rely on the\nnotions of stability under pasting or time-consistency and reveal some\nunexpected connection between the minimax result and the path properties of the\ncorresponding density process.\n