ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS |
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| Authors: | Beatrice Acciaio Gregor Svindland |
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| Affiliation: | 1. University of Perugia and University of Vienna;2. University of Munich |
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| 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. |
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| Keywords: | American contingent claim arbitrage‐free price Snell envelope |
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