Mostrar el registro sencillo del ítem

dc.contributor.author
Ferrando, Sebastian Esteban  
dc.contributor.author
González, Alfredo Lázaro  
dc.contributor.author
Degano, Iván Leonardo  
dc.contributor.author
Rahsepar, Massoomeh  
dc.date.available
2022-11-24T14:17:12Z  
dc.date.issued
2019-10  
dc.identifier.citation
Ferrando, Sebastian Esteban; González, Alfredo Lázaro; Degano, Iván Leonardo; Rahsepar, Massoomeh; Trajectorial market models: Arbitrage and pricing intervals; Unión Matemática Argentina; Revista de la Unión Matemática Argentina; 60; 1; 10-2019; 149-185  
dc.identifier.issn
0041-6932  
dc.identifier.uri
http://hdl.handle.net/11336/178828  
dc.description.abstract
The paper develops general, non-probabilistic market models based on trajectory sets and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of a martingale process as well as a generalization that allows a limited notion of arbitrage in the market while still providing coherent option prices. An illustrative example is described in detail. 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.  
dc.format
application/pdf  
dc.language.iso
eng  
dc.publisher
Unión Matemática Argentina  
dc.rights
info:eu-repo/semantics/openAccess  
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/  
dc.subject
ARBITRAGE  
dc.subject
MARTINGALES  
dc.subject
MINMAX  
dc.subject
TRAJECTORY BASED MARKET MODELS  
dc.subject.classification
Matemática Aplicada  
dc.subject.classification
Matemáticas  
dc.subject.classification
CIENCIAS NATURALES Y EXACTAS  
dc.title
Trajectorial market models: Arbitrage and pricing intervals  
dc.type
info:eu-repo/semantics/article  
dc.type
info:ar-repo/semantics/artículo  
dc.type
info:eu-repo/semantics/publishedVersion  
dc.date.updated
2022-11-02T23:40:39Z  
dc.identifier.eissn
1669-9637  
dc.journal.volume
60  
dc.journal.number
1  
dc.journal.pagination
149-185  
dc.journal.pais
Argentina  
dc.journal.ciudad
Bahia Blanca  
dc.description.fil
Fil: Ferrando, Sebastian Esteban. Ryerson University; Canadá  
dc.description.fil
Fil: González, Alfredo Lázaro. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; Argentina  
dc.description.fil
Fil: Degano, Iván Leonardo. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Mar del Plata; Argentina. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; Argentina  
dc.description.fil
Fil: Rahsepar, Massoomeh. Ryerson University; Canadá  
dc.journal.title
Revista de la Unión Matemática Argentina  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://inmabb.criba.edu.ar/revuma/revuma.php?p=doi/v60n1a10  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/https://doi.org/10.33044/revuma.v60n1a10  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://dialnet.unirioja.es/servlet/articulo?codigo=7036534  

Archivos asociados
Thumbnail
 
Tamaño: 916.2Kb
Formato: PDF
.