Recurrence relations for price bounds of contingent claims in discrete time market models
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.
scientific article; zbMATH DE number 6031474