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Preprints, Working Papers, ... Year : 2010

Super-replication price for asset prices having bounded increments in discrete time

Abstract

We consider a discrete time financial model where the support of the conditional law of the risky asset is bounded. We show that, for convex option, the super-replication problem reduces to the replication one in a Cox-Ross-Rubinstein model whose parameters are the law support boundaries.
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Dates and versions

hal-00511665 , version 1 (25-08-2010)

Identifiers

  • HAL Id : hal-00511665 , version 1

Cite

Laurence Carassus, Tiziano Vargiolu. Super-replication price for asset prices having bounded increments in discrete time. 2010. ⟨hal-00511665⟩
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