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Convex hedging of non-superreplicable claims in discrete-time market models

✍ Scribed by Tkalinski, Tomasz J.


Book ID
121559585
Publisher
Springer
Year
2014
Tongue
English
Weight
258 KB
Volume
79
Category
Article
ISSN
0340-9422

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Firstly exact simple expressions are given for the moments Mr = Eo(Trl{T<~}) when the initial reserves are equal to zero. Then for positive initial reserves the same moments are expressed very compactly through the Mr's, and the polynomials e,~(O = eXtP(St = n), n = 0, 1 .... In both cases the resul