This article is cited in 2 papers

On the upper hedging price of contingent claims

R. V. Khasanov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: The paper analyzes the problem of finding the upper hedging prices of a contingent claim in a semimartingale model of a financial market. The authors also study the relation of the hedging prices introduced under different requirements on arbitrage.

Keywords: semimartingale market model; upper hedging price; contingent claim; duality.

MSC: 91G20,60G48

Received: 06.03.2012

 English version: Theory of Probability and its Applications, 2013, 57:4, 607–618

Bibliographic databases:

• 
• 
• 
• 
• 
•