Arbitrage- and Model-Free Pricing Methods

Alex Backwell
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Alex Backwell: University of Cape Town

Chapter 7 in An Intuitive Introduction to Finance and Derivatives, 2023, pp 63-72 from Springer

Abstract: Abstract The essential idea of arbitrage is discussed. Using the principle of the absence of arbitrage, some model-free derivative pricing results are attained. Forward contracts are priced, and bounds on possible option premia are derived.

Keywords: Arbitrage; Model-independent finance; Robust finance; Put–call parity; Option strategies (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-23453-8_7

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DOI: 10.1007/978-3-031-23453-8_7

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