On the lower arbitrage bound of American contingent claims
Acciaio, Beatrice; and Svindland, Gregor
(2014)
On the lower arbitrage bound of American contingent claims.
Mathematical Finance, 24 (1).
pp. 147-155.
ISSN 0960-1627
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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