No-arbitrage conditions and pricing from discrete-time to continuous-time strategies.
Cherif, Dorsaf; Lépinette, Emmanuel (2021), No-arbitrage conditions and pricing from discrete-time to continuous-time strategies.. https://basepub.dauphine.psl.eu/handle/123456789/22222
TypeDocument de travail / Working paper
External document linkhttps://hal.archives-ouvertes.fr/hal-03284660
Series titleCahier de recherche du CEREMADE
MetadataShow full item record
Faculty of Sciences of Tunis [University of Tunis]
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)In this paper, a general framework is developed for continuoustime financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then compare the usual no-arbitrage conditions of the literature, e.g. the usual no-arbitrage conditions NFL, NFLVR and NUPBR and the recent AIP condition. With appropriate pseudo-distance topologies, we show that they hold in continuous time if and only if they hold in discrete time. Moreover, the super-hedging prices in continuous time coincide with the discrete-time super-hedging prices, even without any no-arbitrage condition.
Subjects / KeywordsNo-arbitrage condition; AIP; NFL; NA; NFLVR; NUPBR; Discrete-time financial model; Continuous-time financial market model; Super hedging prices; Pseudo-distance
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