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

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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 optimally exercised under some equivalent martingale measure.

Item Type:	Article
Official URL:	http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information:	© 2012 Wiley Periodicals, Inc.
Divisions:	Statistics
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics
Date Deposited:	22 Jul 2013 12:50
Last Modified:	14 Sep 2024 06:18
Projects:	MA09-003
Funders:	Vienna Science and Technology Fund
URI:	http://eprints.lse.ac.uk/id/eprint/50117

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