Trajectory Based Market Models. Arbitrage and Pricing Intervals

Ferrando, Sebastian; Gonzalez, Alfredo L.; Degano, Iván L.; Rahsepar, Massoomeh

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

Cited by 2 publications

(3 citation statements)

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“…The manuscript [16] extends and generalizes some of the no arbitrage results to the case of transaction costs. We are also presently studying continuos-time versions of the main results as well.…”

Section: Conclusion and Extensionssupporting

confidence: 58%

“…0-neutral markets are closely related to trajectory sets obeying the local 0-neutral property (introduced in Definition 10); this latter condition should be contrasted with the notion of sticky processes ( [18], [7]) which is fundamental to guarantee the removal of any possible arbitrage in a model with non-zero transaction costs. Reference [16] obtains a similar result for trajectory sets obeying the local 0-neutral property under the presence of transaction costs.…”

Section: Introductionmentioning

confidence: 63%

“…Possible examples of discrete markets M which are arbitrage-free but such that S is not the support set of a martingale process require some additional structure. For example, if transaction costs are incurred each time H j (S) is re-balanced, then it is possible to show that M is arbitrage-free while at the same time contains arbitrage nodes and so S can not be recovered, in general, as paths of a martingale process ( [16]).…”

Section: Arbitrage-free Markets With Non Martingale Trajectory Setsmentioning

confidence: 99%

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Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals

et al. 2014

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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 martingalelike 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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Section: Conclusion and Extensionssupporting

confidence: 58%