Model-free price bounds under dynamic option trading
نویسندگان
چکیده
In this paper we extend discrete time semi-static trading strategies by also allowing for dynamic in a finite amount of options, and study the consequences model-independent super-replication prices exotic derivatives. These include duality results as well precise characterization pricing rules dynamically tradable options triggering an improvement price bounds derivatives comparison with conventional obtained through martingale optimal transport approach.
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ژورنال
عنوان ژورنال: Social Science Research Network
سال: 2021
ISSN: ['1556-5068']
DOI: https://doi.org/10.2139/ssrn.3759550