T-Systems and the lower Snell envelope

Details T-Systems and the lower Snell envelope T-Systems and the lower Snell envelope

2009-02-24

arxiv.org/abs/0902.4245v1

Economy

Quantitative Finance

Computational Finance

Scientific paper

The dynamical analysis of American options has motivated the development of robust versions of the classical Snell envelopes. The cost of superhedging an American option is characterized by the upper Snell envelope. The infimum of the arbitrage free prices is characterized by the lower Snell envelope. In this paper we focus on the lower Snell envelope. We construct a regular version of this stochastic process. To this end, we apply results due to Dellacherie and Lenglart on regularization of stochastic processes and T -Systems.

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