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- W4316128185 abstract "We consider a discrete-time incomplete multi-asset market model with continuous price jumps. For a wide class of contingent claims, including European basket call options, we compute the bounds of the interval containing the no-arbitrage prices. We prove that the lower bound coincides, in fact, with Jensen's bound. The upper bound can be computed by restricting to a binomial model for which an explicit expression for the bound is known by an earlier work of the authors. We describe explicitly a maximal hedging strategy which is the best possible in the sense that its value is equal to the upper bound of the price interval of the claim. Our results show that for any $c$ in the interval of the non-arbitrage contingent claim price at time $0$, one can change the boundaries of the price jumps to obtain a model in which $c$ is the upper bound at time $0$ of this interval. The lower bound of this interval remains unaffected." @default.
- W4316128185 created "2023-01-14" @default.
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- W4316128185 date "2023-01-12" @default.
- W4316128185 modified "2023-09-30" @default.
- W4316128185 title "European baskets in discrete-time continuous-binomial market models" @default.
- W4316128185 doi "https://doi.org/10.48550/arxiv.2301.04996" @default.
- W4316128185 hasPublicationYear "2023" @default.
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