Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete-time markets
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- B. Acciaio & M. Beiglbock & F. Penkner & W. Schachermayer & J. Temme, 2012. "A trajectorial interpretation of Doob's martingale inequalities," Papers 1202.0447, arXiv.org, revised Jul 2013.
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Keywords
Market completeness; Black-Scholes-Merton model; synthesis of contingent claims;All these keywords.
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