On Hedging American Options under Model Uncertainty

Article Properties
Cite
Bayraktar, Erhan, et al. “On Hedging American Options under Model Uncertainty”. SIAM Journal on Financial Mathematics, vol. 6, no. 1, 2015, pp. 425-47, https://doi.org/10.1137/140961869.
Bayraktar, E., Huang, Y.-J., & Zhou, Z. (2015). On Hedging American Options under Model Uncertainty. SIAM Journal on Financial Mathematics, 6(1), 425-447. https://doi.org/10.1137/140961869
Bayraktar E, Huang YJ, Zhou Z. On Hedging American Options under Model Uncertainty. SIAM Journal on Financial Mathematics. 2015;6(1):425-47.
Journal Categories
Science
Mathematics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Social Sciences
Statistics
Refrences
Title Journal Journal Categories Citations Publication Date
Martingale optimal transport and robust hedging in continuous time Probability Theory and Related Fields
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 134 2013
10.1214/ECP.v19-2714
THE RANGE OF TRADED OPTION PRICES

 Mathematical Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 144 2006
10.1214/14-AAP1011
Model-independent bounds for option prices—a mass transport approach Finance and Stochastics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 211 2013
Citations
Title Journal Journal Categories Citations Publication Date
Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation

 Management Science
  • Technology: Manufactures: Production management. Operations management
  • Social Sciences: Commerce: Business: Personnel management. Employment management
  • Social Sciences: Industries. Land use. Labor: Management. Industrial management
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 1 2023
Corrigendum for “Second-order reflected backward stochastic differential equations” and “Second-order BSDEs with general reflection and game options under uncertainty” The Annals of Applied Probability
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 2021
Transport Plans with Domain Constraints Applied Mathematics & Optimization
  • Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods
  • Science: Mathematics
 2020
No-arbitrage with multiple-priors in discrete time Stochastic Processes and their Applications
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Science: Mathematics
 4 2020
Robust bounds for the American put Finance and Stochastics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 7 2019
Citations Analysis
Category Category Repetition
Science: Mathematics16
Science: Mathematics: Probabilities. Mathematical statistics10
Social Sciences: Finance6
Social Sciences: Commerce: Business6
Social Sciences: Economic theory. Demography: Economics as a science6
Social Sciences: Statistics4
Technology: Manufactures: Production management. Operations management3
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods3
Social Sciences: Commerce: Business: Personnel management. Employment management1
Social Sciences: Industries. Land use. Labor: Management. Industrial management1
Technology: Engineering (General). Civil engineering (General)1
The category Science: Mathematics 16 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Quantile Hedging in a Semi-Static Market with Model Uncertainty and was published in 2014. The most recent citation comes from a 2023 study titled Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation. This article reached its peak citation in 2019, with 7 citations. It has been cited in 12 different journals. Among related journals, the The Annals of Applied Probability cited this research the most, with 5 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year