Pricing multi-asset contingent claims in a multi-dimensional binomial market

Autor:	Kędra, Jarek, Libman, Assaf, Steblovskaya, Victoria
Rok vydání:	2021
Předmět:	Quantitative Finance - Mathematical Finance Mathematics - Optimization and Control Mathematics - Probability Quantitative Finance - Pricing of Securities
Zdroj:	Journal of Stochastic Analysis, vol. 4, no. 1 (2023)
Druh dokumentu:	Working Paper
DOI:	10.31390/josa.4.1.02
Popis:	We consider an incomplete multi-asset binomial market model. We prove that for a wide class of contingent claims the extremal multi-step martingale measure is a power of the corresponding single-step extremal martingale measure. This allows for closed form formulas for the bounds of a no-arbitrage contingent claim price interval. We construct a feasible algorithm for computing those boundaries as well as for the corresponding hedging strategies. Our results apply, for example, to European basket call and put options and Asian arithmetic average options. Comment: 30 pages; title slightly changed
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2106.13283 Zobrazit plný text záznamu View this record from Arxiv