TY  - GEN
AB  - We investigate American options in a multiple prior setting of continuous
time and determine optimal exercise strategies form the perspective
of an ambiguity averse buyer. The multiple prior setting
relaxes the presumption of a known distribution of the stock price
process and captures the idea of incomplete information of the market
data leading to model uncertainty. Using the theory of (reflected)
backward stochastic differential equations we are able to solve the optimal
stopping problem under multiple priors and identify the particular
worst-case scenario in terms of the worst-case prior. By means of the
analysis of exotic American options we highlight the main difference
to classical single prior models. This is characterized by a resulting
endogenous dynamic structure of the worst-case scenario generated
by model adjustments of the agent due to particular occurring events
that change the agent’s beliefs.
DA  - 2011
KW  - Optimal stopping for exotic American options
KW  - uncertainty aversion
KW  - ultiple priors
KW  - robustness
KW  - (reflected) BSDEs
LA  - eng
PY  - 2011
SN  - 0931-6558
SP  - 36-
TI  - American options with multiple priors in continuous time
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29009476
Y2  - 2024-12-25T18:13:42
ER  -