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    • American and exotic options in a market with frictions 

      Junike, Gero; Arratia Quesada, Argimiro Alejandro; Cabaña Nigro, Ana Alejandra; Schoutens, Wim (2020-01)
      Open Access
      In a market with frictions, bid and ask prices are described by sublinear pricing functionals, which can be defined recursively using coherent risk measures. We prove the convergence of bid and ask prices for various ...