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- W2085472004 abstract "We give an exposition and numerical studies of upper hedging prices in multinomial models from the viewpoint of linear programming and the game-theoretic probability of Shafer and Vovk. We also show that, as the number of rounds goes to infinity, the upper hedging price of a European option converges to the solution of the Black–Scholes–Barenblatt equation." @default.
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- W2085472004 date "2011-10-28" @default.
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- W2085472004 title "Approximations and asymptotics of upper hedging prices in multinomial models" @default.
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- W2085472004 doi "https://doi.org/10.1007/s13160-011-0047-8" @default.
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