Approximations and asymptotics of upper hedging prices in multinomial models
DOI10.1007/s13160-011-0047-8zbMath1261.91045arXiv1007.4372OpenAlexW2085472004MaRDI 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 equationincomplete marketstochastic controlCox-Ross-Rubinstein formulacontingent claimtrinomial model
Linear programming (90C05) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic games; gambling (91A60)
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