PT Unknown AU Lenga, M TI Representable Options PY 2017 PU Christian-Albrechts-Universität zu Kiel WP https://macau.uni-kiel.de/receive/diss_mods_00021000 LA en DE American options; duality; optimal stopping; optimization methods for option pricing; semi-infinite linear programming; amerikanische Optionen; Dualität; optimales Stoppen; Optimierungsmethoden zur Optionsbewertung; semi-infinite lineare Programmierung AB We call a given American option representable if there exists a European claim which dominates the American payoff function at any time and such that the values of the two options coincide within the continuation set associated to the American option. This mathematical concept has interesting implications from a probabilistic, analytic,financial and numerical point of view. We aim at analyzing the notion of representability and linking it to embedded American payoffs in the sense of Jourdain and Martini (2001) and cheapest dominating European options originating from the work of Christensen (2014).This process reveals a new duality structure between European and American valuation problems which we deem as very promising for future research. Relying on methods from convex optimization, we make a first step towards verifying representability of certain American claims. Furthermore, we discuss some computational aspects related to semi-infinite linear programming theory. This ultimately leads to an iterative procedure which generates upper and lower bounds for American option prices as well as a spline approximation to the early exercise boundary. The algorithm is benchmarked against high-precision methods from the literature. PI Kiel ER