Resumen de Trajectorial market models: arbitrage and pricing intervals
Sebastián E. Ferrando, Alfredo L. González, Iván L. Degano, Massoomeh Rahsepar
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.
