Approximations and asymptotics of upper hedging prices in multinomial models

 NAKAJIMA Ryuichi
 Department of Mathematical Informatics, Graduate School of Information Science and Technology, University of Tokyo

 KUMON Masayuki
 Japanese Association for Promoting Quality Assurance in Statistics

 TAKEMURA Akimichi
 Department of Mathematical Informatics, Graduate School of Information Science and Technology, University of Tokyo

 TAKEUCHI Kei
 Graduate School of Economics, University of Tokyo
Search this Article
Author(s)

 NAKAJIMA Ryuichi
 Department of Mathematical Informatics, Graduate School of Information Science and Technology, University of Tokyo

 KUMON Masayuki
 Japanese Association for Promoting Quality Assurance in Statistics

 TAKEMURA Akimichi
 Department of Mathematical Informatics, Graduate School of Information Science and Technology, University of Tokyo

 TAKEUCHI Kei
 Graduate School of Economics, University of Tokyo
Journal

 Japan journal of industrial and applied mathematics

Japan journal of industrial and applied mathematics 29(1), 121, 20120201
References: 29

1
 Combinatorial implications of nonlinear uncertain volatility models : The case of barrier options

AVELLANEDA M.
Appl. Math. Finance 6, 118, 1998
Cited by (1)

2
 <no title>

BACHELIER L.
Louis Bachelier's Theory of Speculation : The Origins of Modern Finance, 2006
Cited by (1)

3
 Hedging derivative securities and incomplete markets : an εarbitrage approach

BERTSIMAS D.
Oper. Res. 49, 372397, 2001
Cited by (1)

4
 Dynamic spanning without probabilities

BICK A.
Stoch. Process. Appl. 50, 349374, 1994
Cited by (1)

5
 Convex bounds on multiplicative processes, with applications to pricing in incomplete markets

COURTOIS C.
Insur. Math. Econ. 42, 95100, 2008
Cited by (1)

6
 Option pricing : a simplified approach

COX J. C.
J. Financial Econ 3, 229263, 1979
Cited by (1)

7
 User's guide to viscosity solutions of second order partial differential equations

CRANDALL M. G.
Bull. Am. Math. Soc. 27, 167, 1992
Cited by (1)

8
 <no title>

FLEMING W. H.
Controlled Markov Processes and Viscosity Solutions, 2006
Cited by (1)

9
 Superreplication of European multiasset derivatives with bounded stochastic volatility

GOZZI F.
Math. Methods Oper. Res. 55, 6991, 2002
Cited by (1)

10
 <no title>

KARATZAS I.
Methods of Mathematical Finance, 1998
Cited by (1)

11
 The Black Scholes Barenblatt equation for options with uncertain volatility and its application to static hedging

MEYER G. H.
Int. J. Theor. Appl. Finance 9, 673703, 2006
Cited by (1)

12
 <no title>

MUSIELA M.
Martingale Methods in Financial Modelling, 1997
Cited by (1)

13
 Gexpectation, GBrownian motion and related stochastic calculus of Ito type

PENG S.
Stochastic Analysis and Applications, 541567, 2007
Cited by (1)

14
 <no title>

PHAM H.
Continuoustime Stochastic Control and Optimization with Financial Applications, 2009
Cited by (1)

15
 <no title>

ROYDEN H. L.
Real Analysis, 1988
Cited by (1)

16
 On upper and lower prices in discrete time models

RUSCHENDORF L.
Proc. Steklov Inst. Math. 237, 134139, 2002
Cited by (1)

17
 <no title>

SCHACHERMAYER W.
Portfolio optimization in incomplete financial markets, 2004
Cited by (1)

18
 <no title>

SHAFER G.
Probability and Finance : It's Only a Game!, 2001
Cited by (1)

19
 <no title>

SHAFER G.
Levy's zeroone law in gametheoretic probability
Cited by (1)

20
 <no title>

SHREVE S. E.
The Binomial Asset Pricing Model, 2003
Cited by (1)

21
 <no title>

SHREVE S. E.
ContinuousTime Models, 2005
Cited by (1)

22
 <no title>

SMITH G. D.
Numerical Solutions of Partial Differential Equations, 1985
Cited by (1)

23
 A new formulation of asset trading games in continuous time with essential forcing of variation exponent

TAKEUCHI K.
Bernoulli 15, 12431258, 2009
Cited by (1)

24
 <no title>

VARGIOLU T.
Existence, uniqueness and smoothness for the BlackScholesBarenblatt equation, 2001
Cited by (1)

25
 Rough paths in idealized financial markets

VOVK V.
Lith. Math. J. 51, 274285, 2011
Cited by (1)

26
 Continuoustime trading and the emergence of probability

VOVK V.
Finance Stoch., 2011
Cited by (1)

27
 <no title>

WILMOTT P.
The Mathematics of Financial Derivatives, 1995
Cited by (1)

28
 On a simple strategy weakly forcing the strong law of large numbers in the bounded forecasting game

KUMON M. , Takemura Akimichi
Annals of the Institute of Statistical Mathematics 60(4), 801812, 200812
Cited by (1)

29
 The generality of the zeroone laws

TAKEMURA A. , Vovk Vladimir , Shafer Glenn
Annals of the Institute of Statistical Mathematics 63(5), 873885, 201110
Cited by (1)