Trajectory Based Market Models: Evaluation of Minmax Price Bounds

Autores
Degano, Iván Leonardo; Sebastián E. Ferrando; Alfredo L, González
Año de publicación
2019
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fil: Degano, Iván Leonardo. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales; Argentina
Fil: Sebastián E. Ferrando. Ryerson University; Canadá
Fil: Alfredo L, González. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales; Argentina
Materia
Non-Probabilistic Market Models
Arbitrage
Fair Price Bounds
Minmax Optimization
Dynamic Programming
Hedging
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/178893
Acceder
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oai_identifier_str oai:ri.conicet.gov.ar:11336/178893
network_acronym_str CONICETDig
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network_name_str CONICET Digital (CONICET)
spelling Trajectory Based Market Models: Evaluation of Minmax Price BoundsDegano, Iván LeonardoSebastián E. FerrandoAlfredo L, GonzálezNon-Probabilistic Market ModelsArbitrageFair Price BoundsMinmax OptimizationDynamic ProgrammingHedginghttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1The 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.Fil: Degano, Iván Leonardo. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales; ArgentinaFil: Sebastián E. Ferrando. Ryerson University; CanadáFil: Alfredo L, González. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales; ArgentinaWatam Press2019-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/178893Degano, 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; 91-1221201-33901918-2538CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/http://online.watsci.org/abstract_pdf/2019v26/v26n2b-pdf/2.pdfinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-10T13:02:32Zoai:ri.conicet.gov.ar:11336/178893instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-10 13:02:33.238CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Trajectory Based Market Models: Evaluation of Minmax Price Bounds
title Trajectory Based Market Models: Evaluation of Minmax Price Bounds
spellingShingle Trajectory Based Market Models: Evaluation of Minmax Price Bounds
Degano, Iván Leonardo
Non-Probabilistic Market Models
Arbitrage
Fair Price Bounds
Minmax Optimization
Dynamic Programming
Hedging
title_short Trajectory Based Market Models: Evaluation of Minmax Price Bounds
title_full Trajectory Based Market Models: Evaluation of Minmax Price Bounds
title_fullStr Trajectory Based Market Models: Evaluation of Minmax Price Bounds
title_full_unstemmed Trajectory Based Market Models: Evaluation of Minmax Price Bounds
title_sort Trajectory Based Market Models: Evaluation of Minmax Price Bounds
dc.creator.none.fl_str_mv Degano, Iván Leonardo
Sebastián E. Ferrando
Alfredo L, González
author Degano, Iván Leonardo
author_facet Degano, Iván Leonardo
Sebastián E. Ferrando
Alfredo L, González
author_role author
author2 Sebastián E. Ferrando
Alfredo L, González
author2_role author
author
dc.subject.none.fl_str_mv Non-Probabilistic Market Models
Arbitrage
Fair Price Bounds
Minmax Optimization
Dynamic Programming
Hedging
topic Non-Probabilistic Market Models
Arbitrage
Fair Price Bounds
Minmax Optimization
Dynamic Programming
Hedging
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv 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.
Fil: Degano, Iván Leonardo. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales; Argentina
Fil: Sebastián E. Ferrando. Ryerson University; Canadá
Fil: Alfredo L, González. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales; Argentina
description 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.
publishDate 2019
dc.date.none.fl_str_mv 2019-03
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/178893
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
1201-3390
1918-2538
CONICET Digital
CONICET
url http://hdl.handle.net/11336/178893
identifier_str_mv 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
1201-3390
1918-2538
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://online.watsci.org/abstract_pdf/2019v26/v26n2b-pdf/2.pdf
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Watam Press
publisher.none.fl_str_mv Watam Press
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1842980024183947264
score 12.993085

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