Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
El Karoui, N. ; Meziou, A.
HAL, hal-00708488 / Harvested from HAL
Text on HAL
International audience
Publié le : 2008-07-05
Classification:  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] 
@article{hal-00708488,
     author = {El Karoui, N. and Meziou, A.},
     title = {Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance},
     journal = {HAL},
     volume = {2008},
     number = {0},
     year = {2008},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00708488}
}

El Karoui, N.; Meziou, A. Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance. HAL, Tome 2008 (2008) no. 0, . http://gdmltest.u-ga.fr/item/hal-00708488/