Recurrence Relations for Price Bounds of Contingent Claims in Discrete Time Market Models

DOI10.1137/S0040585X97985200zbMath1241.91120MaRDI QIDQ2882763

Dmitry B. Rokhlin

Publication date: 7 May 2012

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

convexitydiscrete timetransaction costs(upper and lower) hedging pricesmartingale selection theorem

Mathematics Subject Classification ID

Convex programming (90C25) Derivative securities (option pricing, hedging, etc.) (91G20)

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