Approximations and asymptotics of upper hedging prices in multinomial models
From MaRDI portal
Publication:692029
DOI10.1007/s13160-011-0047-8zbMath1261.91045arXiv1007.4372MaRDI QIDQ692029
Ryuichi Nakajima, Masayuki Kumon
Publication date: 4 December 2012
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.4372
Black-Scholes-Barenblatt equation; incomplete market; stochastic control; Cox-Ross-Rubinstein formula; contingent claim; trinomial model
90C05: Linear programming
93E20: Optimal stochastic control
91G20: Derivative securities (option pricing, hedging, etc.)
91A60: Probabilistic games; gambling
Related Items
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