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Minimax theorems for American options in incomplete markets without time-consistency
[article]
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
arXiv:1708.08904v1
fatcat:grjkaymfzbasvnkt4wa2fggx4y