Dry Markets and Superreplication Bounds of American Derivatives
Year of publication: |
2004
|
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Authors: | Matos, Joao Amaro de ; Lacerda, Ana |
Institutions: | Faculdade de Economia, Universidade Nova de Lisboa |
Subject: | American derivatives | pricing | incomplete markets | dry markets | superreplication | randomized stopping times | strong duality |
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