2015/01/15 by Raphael Hauser, Hauser, Raphael, Sergey Shahverdyan +1
Decision Sciences · Economics, Econometrics and Finance · #Advanced Bandit Algorithms Research #FOS: Economics and business #Pricing of Securities (q-fin.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #q-fin.PR
paper · pdf · doi:10.48550/arxiv.1501.03701
arxiv created 2015/01/15 · openalex publication_date 2015/01/15 · arxiv updated 2015/01/16 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of model-free option pricing can be formulated in the new framework. We then introduce a model to solve the problem numerically when the only information provided is the market data of vanilla call or put option prices. Compared to the common approaches in the literature, e.g. [4], the model does not require the marginal distributions of the stock price for different maturities. Though the experiments are carried out for simple path-dependent options on a single stock, the model is easy to generalise for multi-asset framework.