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

Denis Belomestny, Volker Kraetschmer
2017 arXiv   pre-print
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
more » ... sult and the path properties of the corresponding density process.
arXiv:1708.08904v1 fatcat:grjkaymfzbasvnkt4wa2fggx4y