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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2010
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https://hal.archives-ouvertes.fr/hal-00511665
Contributor : Laurence Carassus <>
Submitted on : Wednesday, August 25, 2010 - 4:04:20 PM
Last modification on : Monday, May 29, 2017 - 2:24:00 PM
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Laurence Carassus, Tiziano Vargiolu. Super-replication price for asset prices having bounded increments in discrete time. 2010. <hal-00511665>

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