Approximations and asymptotics of upper hedging prices in multinomial models
We give an exposition and numerical studies of upper hedging prices in multinomial models from the viewpoint of linear programming and the game-theoretic probability of Shafer and Vovk. We also show that, as the number of rounds goes to infinity, the upper hedging price of a European option converges to the solution of the Black-Scholes-Barenblatt equation.
|Date of creation:||Jul 2010|
|Date of revision:||Jun 2011|
|Publication status:||Published in Japan Journal of Industrial and Applied Mathematics 25 (2012) 1-21|
|Contact details of provider:|| Web page: http://arxiv.org/|
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- Fausto Gozzi & Tiziano Vargiolu, 2002. "Superreplication of European multiasset derivatives with bounded stochastic volatility," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(1), pages 69-91, March.
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