On the lower arbitrage bound of American contingent claims
Acciaio, B. & Svindland, G.
(2014).
On the lower arbitrage bound of American contingent claims.
Mathematical Finance,
24(1), 147-155.
https://doi.org/10.1111/j.1467-9965.2012.00519.x
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.
| Item Type | Article |
|---|---|
| Copyright holders | © 2012 Wiley Periodicals, Inc. |
| Departments | LSE > Academic Departments > Statistics |
| DOI | 10.1111/j.1467-9965.2012.00519.x |
| Date Deposited | 22 Jul 2013 |
| URI | https://researchonline.lse.ac.uk/id/eprint/50117 |
Explore Further
- https://www.scopus.com/pages/publications/84890264809 (Scopus publication)
- http://onlinelibrary.wiley.com/journal/10.1111/(IS... (Official URL)