On the upper hedging price of contingent claims (Q2874138)
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scientific article; zbMATH DE number 6251444
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| English | On the upper hedging price of contingent claims |
scientific article; zbMATH DE number 6251444 |
Statements
28 January 2014
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semimartingale market model
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upper hedging price
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contingent claim
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duality
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On the upper hedging price of contingent claims (English)
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The paper analyzes the problem of finding the upper hedging prices of a contingent claim in a semimartingale model of a financial market. The authors also study the relation of the hedging prices introduced under different requirements on arbitrage.
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0.8484963774681091
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0.8198907971382141
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0.8085519075393677
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