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Arbitrage, hedging and utility maximization using semi-static trading strategies with American options
Erhan Bayraktar, Zhou Zhou
Research output
:
Contribution to journal
›
Article
›
peer-review
5
Scopus citations
Overview
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Dive into the research topics of 'Arbitrage, hedging and utility maximization using semi-static trading strategies with American options'. Together they form a unique fingerprint.
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Keyphrases
Arbitrage
100%
Utility Maximization
100%
Hedging
100%
American Options
100%
Semi-static Trading Strategies
100%
Fundamental Theorem of Asset Pricing
60%
European Options
40%
Probability Measure
20%
Financial Markets
20%
Model Uncertainty
20%
Discretization Method
20%
Nondominated Model
20%
Minimax Theorem
20%
Model Ambiguity
20%
Dynamic Trading
20%
Infinitely Divisible
20%
Selling
20%
Economics, Econometrics and Finance
Hedging
100%
Arbitrage
100%
Option Trading
100%
Utility Maximization
100%
Asset Pricing
50%
Financial Market
16%
Mathematics
American Option
100%
Arbitrage
100%
Utility Maximization
100%
Fundamental Theorem
75%
Probability Measure
25%
Discretization
25%
Minimax
25%