2014/07/07 by Sebastián Ferrando, Ferrando, Sebastian E., Alfredo González +6
Economics, Econometrics and Finance · #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Pricing of Securities (q-fin.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1407.1769
openalex publication_date 2014/07/07 · openalex created_date 2022/10/01 · openalex updated_date 2026/07/28
The paper develops general, discrete, non-probabilistic market models and\nminmax price bounds leading to price intervals for European options. The\napproach provides the trajectory based analogue of martingale-like properties\nas well as a generalization that allows a limited notion of arbitrage in the\nmarket while still providing coherent option prices. Several properties of the\nprice bounds are obtained, in particular a connection with risk neutral pricing\nis established for trajectory markets associated to a continuous-time\nmartingale model.\n