Recurrence relations for price bounds of contingent claims in discrete time market models
type: Item
instance of: scholarly article
zbMATH Open document ID: 1241.91120
DOI: 10.1137/S0040585X97985200
author: D. B. Rokhlin
publication date: 2012-05-07T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 90C25
zbMATH DE Number: 6031474
zbMATH Keywords: (upper and lower) hedging prices
zbMATH Keywords: transaction costs
zbMATH Keywords: discrete time
zbMATH Keywords: martingale selection theorem
zbMATH Keywords: convexity
MaRDI profile type: Publication
title: Recurrence relations for price bounds of contingent claims in discrete time market models
published in: Theory of Probability and its Applications
review text: 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.
reviewed by: Johannes Muhle-Karbe
description: scientific article; zbMATH DE number 6031474