Trajectory Based Market Models. Arbitrage and Pricing Intervals

Sebastian Ferrando (), Alfredo Gonzalez (), Ivan Degano () and Massoome Rahsepar ()
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Sebastian Ferrando: Ryerson University, Department of Mathematics
Alfredo Gonzalez: Mar del Plata National University, Department of Mathematics
Ivan Degano: Mar del Plata National University, Department of Mathematics
Massoome Rahsepar: Ryerson University, Department of Mathematics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 99-103 from Springer

Abstract: Abstract The paper introduces general, discrete, non probabilistic models and a natural global minmax pricing rule that, for a given option, leads to a pricing interval. Conditions are described for the absence of arbitrage and a dynamic programming local minmax optimization is defined that evaluates the pricing interval bounds.

Keywords: Minmax; Pricing intervals; Non probabilistic (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_23

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DOI: 10.1007/978-3-319-05014-0_23

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