11 citations · 23 across the 20 of their papers we have counts for
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European baskets in discrete-time continuous-binomial market models
Jarek Kędra, Assaf Libman, Victoria Steblovskaya
We consider a discrete-time incomplete multi-asset market model with continuous price jumps. For a wide class of contingent claims, including European basket call options, we compu…
Minimum Cost Super-Hedging in a Discrete Time Incomplete Multi-Asset Binomial Market
Jarek Kędra, Assaf Libman, Victoria Steblovskaya
We consider a multi-asset incomplete model of the financial market, where each of risky assets follows the binomial dynamics, and no assumptions are made on the joint dis…
Pricing multi-asset contingent claims in a multi-dimensional binomial market
Jarek Kędra, Assaf Libman, Victoria Steblovskaya
We consider an incomplete multi-asset binomial market model. We prove that for a wide class of contingent claims the extremal multi-step martingale measure is a power of the corres…