Pricing without no-arbitrage condition in discrete time
| Autor: | Carassus, Laurence, Lépinette, Emmanuel |
|---|---|
| Rok vydání: | 2021 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | 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. Comment: arXiv admin note: text overlap with arXiv:1807.04612 |
| Databáze: | arXiv |
| Externí odkaz: |
|