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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.
Year of publication:
2010-07
Authors: Nakajima, Ryuichi ; Kumon, Masayuki ; Takemura, Akimichi ; Takeuchi, Kei
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Language: English
Notes:
Published in Japan Journal of Industrial and Applied Mathematics 25 (2012) 1-21
Source:
Persistent link: https://www.econbiz.de/10008540020
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