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- W3121750694 abstract "The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options. The approach provides the trajectory based analogue of martingale-like properties as well as a generalization that allows a limited notion of arbitrage in the market while still providing coherent option prices. 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." @default.
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- W3121750694 date "2015-11-01" @default.
- W3121750694 modified "2023-09-26" @default.
- W3121750694 title "Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals" @default.
- W3121750694 hasPublicationYear "2015" @default.
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