Pricing without no-arbitrage condition in discrete time
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Publication:2235871
DOI10.1016/J.JMAA.2021.125441zbMATH Open1471.91526arXiv2104.02688OpenAlexW3176962163MaRDI QIDQ2235871FDOQ2235871
Authors: Laurence Carassus, Emmanuel Lépinette 
Publication date: 22 October 2021
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Abstract: In a discrete time setting, we study the central problem of giving a fair price to some financial product. For several decades, the no-arbitrage conditions and the martingale measures have played a major role for solving this problem. We propose a new approach for estimating the super-replication cost based on convex duality instead of martingale measures duality: The prices are expressed using Fenchel conjugate and bi-conjugate without using any no-arbitrage condition.The super-hedging problem resolution leads endogenously to a weak no-arbitrage condition called Absence of Instantaneous Profit (AIP) under which prices are finite. We study this condition in details, propose several characterizations and compare it to the no-arbitrage condition.
Full work available at URL: https://arxiv.org/abs/2104.02688
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Cited In (18)
- No double discount: condition-based simultaneity yields limited gain
- A short note on super-hedging an arbitrary number of European options with integer-valued strategies
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
- Notes on free lunch in the limit and pricing by conjugate duality theory
- Conditional indicators
- The no-arbitrage pricing of non-traded assets
- Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
- Weak time-derivatives and no-arbitrage pricing
- No-arbitrage with multiple-priors in discrete time
- Title not available (Why is that?)
- Approximation and asymptotics in the superhedging problem for binary options
- A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market
- Structural Stability of the Financial Market Model: Continuity of Superhedging Price and Model Approximation
- Pointwise Arbitrage Pricing Theory in Discrete Time
- Quasi-sure essential supremum and applications to finance
- Dynamic programming principle and computable prices in financial market models with transaction costs
- Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty
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