On the lower arbitrage bound of American contingent claims
Year of publication: |
2014-01
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Authors: | Acciaio, Beatrice ; Svindland, Gregor |
Institutions: | London School of Economics (LSE) |
Subject: | American contingent claim | arbitrage-free price | Snell envelope |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Mathematical Finance, January, 2014, 24(1), pp. 147-155. ISSN: 0960-1627 |
Classification: | F3 - International Finance ; G3 - Corporate Finance and Governance |
Source: |
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