Geodesic
On Upper and Lower Prices in Discrete-Time Models
Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 143-148 
L. Rüschendorf. On Upper and Lower Prices in Discrete-Time Models. Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 143-148. http://geodesic.mathdoc.fr/item/TM_2002_237_a5/
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     title = {On {Upper} and {Lower} {Prices} in {Discrete-Time} {Models}},
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Voir la notice du chapitre de livre provenant de la source Math-Net.Ru

A simple convex ordering argument in the class of equivalent martingale measures is used to determine the upper and lower prices of a convex claim in a general discrete-time model ($N$-period model) with bounded components. Under an approximation condition, the upper price is given by the price in a related Cox–Ross–Rubinstein model. As an application, we discuss a discrete-time stochastic volatility model.

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