We prove that in a discrete-time market model the lower arbitrage bound of an American contingent claim is itself an arbitrage-free price if and only if it corresponds to the price of the claim optimally exercised under some equivalent martingale measure.

On the Lower Arbitrage Bound of American Contingent Claims

ACCIAIO, BEATRICE;
2012

Abstract

We prove that in a discrete-time market model the lower arbitrage bound of an American contingent claim is itself an arbitrage-free price if and only if it corresponds to the price of the claim optimally exercised under some equivalent martingale measure.
2012
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11391/1025467
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