Trajectorial market models: Arbitrage and pricing intervals

Autores
Ferrando, Sebastian Esteban; González, Alfredo Lázaro; Degano, Iván Leonardo; Rahsepar, Massoomeh
Año de publicación
2019
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fil: Ferrando, Sebastian Esteban. Ryerson University; Canadá
Fil: González, Alfredo Lázaro. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; Argentina
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
Fil: Rahsepar, Massoomeh. Ryerson University; Canadá
Materia
ARBITRAGE
MARTINGALES
MINMAX
TRAJECTORY BASED MARKET MODELS
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:11336/178828
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Trajectorial market models: Arbitrage and pricing intervalsFerrando, Sebastian EstebanGonzález, Alfredo LázaroDegano, Iván LeonardoRahsepar, MassoomehARBITRAGEMARTINGALESMINMAXTRAJECTORY BASED MARKET MODELShttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1The 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.Fil: Ferrando, Sebastian Esteban. Ryerson University; CanadáFil: González, Alfredo Lázaro. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; ArgentinaFil: 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; ArgentinaFil: Rahsepar, Massoomeh. Ryerson University; CanadáUnión Matemática Argentina2019-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/178828Ferrando, 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; 149-1850041-69321669-9637CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://inmabb.criba.edu.ar/revuma/revuma.php?p=doi/v60n1a10info:eu-repo/semantics/altIdentifier/doi/10.33044/revuma.v60n1a10info:eu-repo/semantics/altIdentifier/url/https://dialnet.unirioja.es/servlet/articulo?codigo=7036534info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-11-12T09:53:40Zoai:ri.conicet.gov.ar:11336/178828instacron: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:34982025-11-12 09:53:40.936CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Trajectorial market models: Arbitrage and pricing intervals
title Trajectorial market models: Arbitrage and pricing intervals
spellingShingle Trajectorial market models: Arbitrage and pricing intervals
Ferrando, Sebastian Esteban
ARBITRAGE
MARTINGALES
MINMAX
TRAJECTORY BASED MARKET MODELS
title_short Trajectorial market models: Arbitrage and pricing intervals
title_full Trajectorial market models: Arbitrage and pricing intervals
title_fullStr Trajectorial market models: Arbitrage and pricing intervals
title_full_unstemmed Trajectorial market models: Arbitrage and pricing intervals
title_sort Trajectorial market models: Arbitrage and pricing intervals
dc.creator.none.fl_str_mv Ferrando, Sebastian Esteban
González, Alfredo Lázaro
Degano, Iván Leonardo
Rahsepar, Massoomeh
author Ferrando, Sebastian Esteban
author_facet Ferrando, Sebastian Esteban
González, Alfredo Lázaro
Degano, Iván Leonardo
Rahsepar, Massoomeh
author_role author
author2 González, Alfredo Lázaro
Degano, Iván Leonardo
Rahsepar, Massoomeh
author2_role author
author
author
dc.subject.none.fl_str_mv ARBITRAGE
MARTINGALES
MINMAX
TRAJECTORY BASED MARKET MODELS
topic ARBITRAGE
MARTINGALES
MINMAX
TRAJECTORY BASED MARKET MODELS
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 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.
Fil: Ferrando, Sebastian Esteban. Ryerson University; Canadá
Fil: González, Alfredo Lázaro. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; Argentina
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
Fil: Rahsepar, Massoomeh. Ryerson University; Canadá
description 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.
publishDate 2019
dc.date.none.fl_str_mv 2019-10
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/11336/178828
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
0041-6932
1669-9637
CONICET Digital
CONICET
url http://hdl.handle.net/11336/178828
identifier_str_mv 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
0041-6932
1669-9637
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://inmabb.criba.edu.ar/revuma/revuma.php?p=doi/v60n1a10
info:eu-repo/semantics/altIdentifier/doi/10.33044/revuma.v60n1a10
info:eu-repo/semantics/altIdentifier/url/https://dialnet.unirioja.es/servlet/articulo?codigo=7036534
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
application/pdf
dc.publisher.none.fl_str_mv Unión Matemática Argentina
publisher.none.fl_str_mv Unión Matemática Argentina
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
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score 12.976206

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