No-arbitrage conditions and pricing from discrete-time to continuous-time strategies

Dorsaf Cherif () and Emmanuel Lépinette ()
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Dorsaf Cherif: El Manar University
Emmanuel Lépinette: Paris Dauphine University, PSL

Annals of Finance, 2023, vol. 19, issue 2, No 1, 168 pages

Abstract: Abstract In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then compare the usual no-arbitrage conditions of the literature, e.g. the usual no-arbitrage conditions NFL, NFLVR and NUPBR and the recent AIP condition. With appropriate pseudo-distance topologies, we show that they hold in continuous time if and only if they hold in discrete time. Moreover, the super-hedging prices in continuous time coincide with the discrete-time super-hedging prices, even without any no-arbitrage condition.

Keywords: No-arbitrage condition; Super-hedging price; AIP condition; NFL condition; Discrete-time financial model; Continuous-time financial market model (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 G13 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10436-023-00426-1

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