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Mathematical and Statistical Methods for Actuarial Sciences and Finance pp 99–103Cite as

Trajectory Based Market Models. Arbitrage and Pricing Intervals

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Abstract

The paper introduces general, discrete, non probabilistic models and a natural global minmax pricing rule that, for a given option, leads to a pricing interval. Conditions are described for the absence of arbitrage and a dynamic programming local minmax optimization is defined that evaluates the pricing interval bounds.

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References

  1. Alvarez, A., Ferrando, S.: Trajectory based models, arbitrage and continuity. Preprint, December (2103)

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  4. Ferrando, S., Gonzalez, A., Degano, I., Rahsepar, M.: Discrete, non probabilistic market models. Arbitrage and pricing intervals. Preprint, December (2013)

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Author information

Authors and Affiliations

  1. Department of Mathematics, Ryerson University, Toronto, Ontario, Canada

    Sebastian Ferrando & Massoome Rahsepar

  2. Department of Mathematics, Mar del Plata National University, Mar del Plata, Argentina

    Alfredo Gonzalez & Ivan Degano

Authors
  1. Sebastian Ferrando
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  2. Alfredo Gonzalez
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  3. Ivan Degano
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  4. Massoome Rahsepar
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Corresponding author

Correspondence to Sebastian Ferrando .

Editor information

Editors and Affiliations

  1. Department of Economics and Statistics, University of Salerno, Fisciano, Salerno, Italy

    Cira Perna

  2. Department of Economics and Statistics, University of Salerno, Fisciano, Salerno, Italy

    Marilena Sibillo

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Ferrando, S., Gonzalez, A., Degano, I., Rahsepar, M. (2014). Trajectory Based Market Models. Arbitrage and Pricing Intervals. In: Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-05014-0_23

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