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Robust Pricing and Hedging of American Options in Continuous Time
Ivan Guo / Jan Obłój
derivatives / option pricingResource overview

Robust Pricing and Hedging of American Options in Continuous Time

Paper2025

by Ivan Guo, Jan Obłój

Tags
derivativesoption pricingoptions hedgingstochastic processes

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Understand this paper

Suggested foundations for options and derivatives pricing and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

  3. Conditional Expectation

    Understand what it means to condition on current information.

  4. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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