MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS (Q2800003)

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MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS
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    MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS (English)
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    14 April 2016
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    model-independent arbitrage
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    American option
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    convex conjugate
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    Legendre-Fenchel transformation
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    Skorokhod embedding
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