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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 249–255
(Mi tm336)
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This article is cited in 1 scientific paper (total in 1 paper)
The Cheapest Superstrategy without Optional Decomposition
C. Martini French National Institute for Research in Computer Science and Automatic Control,
INRIA Paris - Rocquencourt Research Centre
Abstract:
We follow very closely the Föllmer and Kabanov Lagrange multiplier
approach to superstrategies in perfect incomplete markets, except that we
provide a very simple proof of the existence of a minimizing multiplier in
the case of a European option under the assumption that the discounted
process of the underlying is an $L^{2}(P)$-martingale for some
probability $P$. Even if it gives the existence of a superstrategy
associated with the supremum of the expectations under equivalent
martingale measures, our result is much weaker than the optional
decomposition theorem.
Received in November 2000
Citation:
C. Martini, “The Cheapest Superstrategy without Optional Decomposition”, Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 249–255; Proc. Steklov Inst. Math., 237 (2002), 240–246
Linking options:
https://www.mathnet.ru/eng/tm336 https://www.mathnet.ru/eng/tm/v237/p249
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Abstract page: | 214 | Full-text PDF : | 73 | References: | 40 |
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