Robust Hedging of American Options via Aggregated Snell Envelopes

Marco Rodrigues

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arXiv · 2506.14553

Robust Hedging of American Options via Aggregated Snell Envelopes

Marco Rodrigues

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Abstract

We construct an aggregator for a family of Snell envelopes in a nondominated framework. We apply this construction to establish a robust hedging duality, along with the existence of a minimal hedging strategy, in a general semi-martingale setting for American-style options. Our results encompass continuous processes, or processes with jumps and non-vanishing diffusion. A key application is to financial market models, where uncertainty is quantified through the semi-martingale characteristics.

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Marco Rodrigues. 2025-06-17. Robust Hedging of American Options via Aggregated Snell Envelopes. https://arxiv.org/abs/2506.14553

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