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On a two-dimensional binary model of a financial market and its extension
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A. V. Nagaev
Veröffentlicht/Copyright:
1. März 2006
An incomplete market with European type contingent claim based on two underlying assets whose price evolutions are assumed to be binary is considered. We obtain explicit formulas for upper and lower bounds for the rational price interval as well as for upper and lower hedging strategies. The obtained strategies are semi-self-financing in the sense that the extraction of funds is assumed at each time step with non-negative probability. The results are extended to the case where the stock price jumps are distributed over a closed rectangle and the pay-off function is convex. No assumptions are imposed on the joint distribution of the price jumps.
Published Online: 2006-03-01
Published in Print: 2006-03-01
Copyright 2006, Walter de Gruyter
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- Testing numbers of the form N = 2kpm − 1 for primality
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- Stochastic optimality in the problem on linear regulator perturbed by a sequence of dependent random variables
- On large deviations of branching processes in a random environment: geometric distribution of descendants
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Artikel in diesem Heft
- Testing numbers of the form N = 2kpm − 1 for primality
- On a two-dimensional binary model of a financial market and its extension
- Stochastic optimality in the problem on linear regulator perturbed by a sequence of dependent random variables
- On large deviations of branching processes in a random environment: geometric distribution of descendants
- A random algorithm for multiselection
- On the mean complexity of monotone functions
- On reliability of circuits over the basis {x ∨ y ∨ z, x & y & z, } under single-type constant faults at inputs of elements
