Approximations and asymptotics of upper hedging prices in multinomial models
Pricing of Securities
2012-04-09 v2 Probability
Abstract
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.
Keywords
Cite
@article{arxiv.1007.4372,
title = {Approximations and asymptotics of upper hedging prices in multinomial models},
author = {Ryuichi Nakajima and Masayuki Kumon and Akimichi Takemura and Kei Takeuchi},
journal= {arXiv preprint arXiv:1007.4372},
year = {2012}
}