Artículo
Trajectory Based Market Models: Evaluation of Minmax Price Bounds
Fecha de publicación:
03/2019
Editorial:
Watam Press
Revista:
Dynamics of continuous, discrete and impulsive systems
ISSN:
1201-3390
e-ISSN:
1918-2538
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space which is of unrestricted cardinality. For a given option, there exists an interval bounding the set of possible fair prices; such interval exists under more general conditions than the usual no-arbitrage requirement. The paper develops a backward recursive method to evaluate the option bounds together with the associated hedging strategies; the global minmax optimization, defining the price interval, is reduced to a local minmax optimization via dynamic programming. Trajectory sets are introduced for which existing probabilistic and non-probabilistic market models are nested as particular cases. Several examples are presented, the effect of the presence of arbitrage on the price bounds is illustrated.
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Colecciones
Articulos(CCT - MAR DEL PLATA)
Articulos de CTRO.CIENTIFICO TECNOL.CONICET - MAR DEL PLATA
Articulos de CTRO.CIENTIFICO TECNOL.CONICET - MAR DEL PLATA
Citación
Degano, Iván Leonardo; Sebastián E. Ferrando; Alfredo L, González; Trajectory Based Market Models: Evaluation of Minmax Price Bounds; Watam Press; Dynamics of continuous, discrete and impulsive systems; 26; 2b; 3-2019; 91-122
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