Superhedging of American options on an incomplete market with discrete time and finite horizon.
Vladimir M. KhametovElena A. ShelemekhPublished in: Autom. Remote. Control. (2015)
Keyphrases
- finite horizon
- option pricing
- optimal policy
- markov decision processes
- optimal stopping
- infinite horizon
- finite state
- inventory models
- multistage
- inventory control
- single product
- average cost
- stock price
- yield management
- markov chain
- long run
- state space
- decision making
- markov decision process
- lost sales
- non stationary
- pricing strategies
- inventory policy
- production system
- lot size
- sufficient conditions
- dynamic programming