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arXiv · 1407.1769

Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals

Sebastian E. Ferrando·Alfredo L. Gonzalez·Ivan L. Degano·Massoome Rahsepar
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Abstract

The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a generalization that allows a limited notion of arbitrage in the market while still providing coherent option prices. Several properties of the price bounds are obtained, in particular a connection with risk neutral pricing is established for trajectory markets associated to a continuous-time martingale model.

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BibTeXRIS

Sebastian E. Ferrando, Alfredo L. Gonzalez, Ivan L. Degano, Massoome Rahsepar. 2014-07-07. Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals. https://arxiv.org/abs/1407.1769

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