On the lower arbitrage bound of American contingent claims

We prove that in a discrete-time market model the lower arbitrage bound of an American contingent claim is itself an arbitrage-free price if and only if it corresponds to the price of the claim optimally exercised under some equivalent martingale measure.

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Year of publication:	2014-01
Authors:	Acciaio, Beatrice ; Svindland, Gregor
Institutions:	London School of Economics (LSE)
Subject:	American contingent claim \| arbitrage-free price \| Snell envelope

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Mathematical Finance, January, 2014, 24(1), pp. 147-155. ISSN: 0960-1627
Classification:	F3 - International Finance ; G3 - Corporate Finance and Governance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011126088