PInar, Mustafa Ç.; Salih, AslIhan; CamcI, Ahmet - In: European Journal of Operational Research 201 (2010) 3, pp. 770-785
We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "[lambda] gain-loss ratio opportunity". Pricing results somewhat different from, but reminiscent of, the arbitrage pricing theorems of mathematical...