On The Lower Arbitrage Bound Of American Contingent Claims
Work
Year: 2012
Type: article
Abstract: 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 optima... more
Source: Mathematical Finance
Authors Beatrice Acciaio, Gregor Svindland
Cites: 10
Cited by: 1
Related to: 10
FWCI:
Citation percentile (by year/subfield): 50.28
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green