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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 143–148
(Mi tm327)
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This article is cited in 12 scientific papers (total in 12 papers)
On Upper and Lower Prices in Discrete-Time Models
L. Rüschendorf Albert Ludwigs University of Freiburg
Abstract:
A simple convex ordering argument in the class of equivalent martingale measures is used to determine the upper and lower prices of a convex claim in a general discrete-time model ($N$-period model) with bounded components. Under an approximation condition, the upper price is given by the price in a related Cox–Ross–Rubinstein model. As an application, we discuss a discrete-time stochastic volatility model.
Received in April 2001
Citation:
L. Rüschendorf, “On Upper and Lower Prices in Discrete-Time Models”, Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 143–148; Proc. Steklov Inst. Math., 237 (2002), 134–139
Linking options:
https://www.mathnet.ru/eng/tm327 https://www.mathnet.ru/eng/tm/v237/p143
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Abstract page: | 360 | Full-text PDF : | 152 | References: | 36 |
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