Nakajima, Ryuichi; Kumon, Masayuki; Takemura, Akimichi; … - arXiv.org - 2010
We give an exposition and numerical studies of upper hedging prices in multinomial models from the viewpoint of linear programming and the game-theoretic probability of Shafer and Vovk. We also show that, as the number of rounds goes to infinity, the upper hedging price of a European option...