Super-replication price for asset prices having bounded increments in discrete time
Résumé
We consider a discrete time financial model where the support of the conditional law of the risky asset is bounded. We show that, for convex option, the super-replication problem reduces to the replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.
Domaines
Probabilités [math.PR]
Fichier principal
Carassus_Vargoliu_2010_Super-replication_price_for_asset_prices_having_bounded_increments_in_discrete_time_.pdf (156.17 Ko)
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| Origine | Fichiers produits par l'(les) auteur(s) |
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