Recurrence relations for price bounds of contingent claims in discrete time market models (Q2882763)
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scientific article; zbMATH DE number 6031474
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recurrence relations for price bounds of contingent claims in discrete time market models |
scientific article; zbMATH DE number 6031474 |
Statements
7 May 2012
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(upper and lower) hedging prices
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transaction costs
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discrete time
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martingale selection theorem
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convexity
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Recurrence relations for price bounds of contingent claims in discrete time market models (English)
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The author studies the recursive computation of upper and lower bounds for the prices of contingent claims in discrete-time currency markets with transaction costs. By means of the martingale selection theorem, this task is reduced to a series of interconnected finite dimensional optimization problems. The applicability of this result is demonstrated by some examples with independent asset returns.
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