Convex bounds on multiplicative processes, with applications to pricing in incomplete markets

DOI10.1016/j.insmatheco.2007.01.013zbMath1141.91498OpenAlexW2093210108MaRDI QIDQ939332

Cindy Courtois, Michel M. Denuit

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.013

zbMATH Keywords

incomplete marketoption pricingconvex orderextremal distributionstrinomial modelrisk-neutral martingales

Mathematics Subject Classification ID

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