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Minimax price bounds in incomplete markets

✍ Scribed by Unyong Pyo


Book ID
107621884
Publisher
Springer US
Year
2009
Tongue
English
Weight
288 KB
Volume
35
Category
Article
ISSN
1055-0925

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πŸ“œ SIMILAR VOLUMES


ASSET PRICE BUBBLES IN INCOMPLETE MARKET
✍ Robert A. Jarrow; Philip Protter; Kazuhiro Shimbo πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 335 KB
Pricing vulnerable options in incomplete
✍ Mao-Wei Hung; Yu-Hong Liu πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 474 KB

## Abstract This paper follows the framework of P. Klein (1996) to price vulnerable options when the market is incomplete. Vulnerable options, which are usually traded in the over‐the‐counter market, may not only face the risk of default but also the risk of illiquidity. Thus, pricing such options