Exercise strategies for American exotic options under ambiguity

摘要: We analyze several exotic options of American style in a multiple prior setting and study the optimal exercise strategy from perspective an ambiguity averse buyer discrete time model Cox-Ross-Rubinstein style. The relaxes assumption known distribution stock price process takes into account decision maker's inability to completely determine underlying asset's dynamics. In order evaluate option maker needs solve stopping problem. Unlike classical approach uses class measures her expected payoffs instead unique prior. Given time-consistency set priors appropriate version backward induction leads solution as case. Using duality result problem can be related for certain probability measure - worst-case measure. Therefore, reduced identifying obtain form different classes explicitly exploiting observation that decomposed simpler event-driven claims.