Abstract: In this chapter we pick up a thread left over from Chapter 3, namely: pricing claims in incomplete markets. An incomplete market has, by definition, non-attainable claims. For such claims (when there is no arbitrage), there are at least arbitrage enforced bounds on the price. Here we investigate this idea and characterize the arbitrage-allowed prices for non-attainable claims.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: book-chapter
Indexed In: ['crossref']
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