Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Mansour, Meriam El"'
A short note on super-hedging an arbitrary number of European options with integer-valued strategies
The usual theory of asset pricing in finance assumes that the financial strategies, i.e. the quantity of risky assets to invest, are real-valued so that they are not integer-valued in general, see the Black and Scholes model for instance. This is cle
Externí odkaz:
http://arxiv.org/abs/2311.08871
We solve the problem of super-hedging European or Asian options for discrete-time financial market models where executable prices are uncertain. The risky asset prices are not described by single-valued processes but measurable selections of random s
Externí odkaz:
http://arxiv.org/abs/2311.08847