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

Laurence Carassus (1) , Tiziano Vargiolu (2)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 Dipartimento di Matematica Pura e Applicata [Padova]

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.

Mots clés: Super-replication; Discrete time model; Incomplete market

Domaines: Probabilités [math.PR]

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