调整后的美国回顾的无概率定价
Probability-free pricing of adjusted American lookbacks
摘要：
考虑一个美式期权，在时间t执行时支付G（X^*_t），其中G是一个正增函数，X^*_t：= \sup_{s\le t} X_s，X_s是标的证券在时间s的价格。假设利率为零，我们证明，如果卖方的初始资本为X_0 \int_{X_0}^{\infty} G（x）x^{-2}dx（这是允许卖方对冲头寸的最小初始资本），那么卖方可以通过交易标的证券来对冲头寸。这导致交易策略总是具有竞争力，既有给定策略的当前表现，也有迄今为止最好的表现。它还导致统计检验方法，避免牺牲太多的最大统计意义，他们在积累数据的过程中实现。
英文摘要：
Consider an American option that pays G(X^*_t) when exercised at time t, where G is a positive increasing function, X^*_t := \sup_{s\le t}X_s, and X_s is the price of the underlying security at time s. Assuming zero interest rates, we show that the seller of this option can hedge his position by trading in the underlying security if he begins with initial capital X_0\int_{X_0}^{\infty}G(x)x^{-2}dx (and this is the smallest initial capital that allows him to hedge his position). This leads to strategies for trading that are always competitive both with a given strategy's current performance and, to a somewhat lesser degree, with its best performance so far. It also leads to methods of statistical testing that avoid sacrificing too much of the maximum statistical significance that they achieve in the course of accumulating data.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
