英文标题：
《Trajectory based models. Evaluation of minmax pricing bounds》
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作者：
Ivan Degano, Sebastian Ferrando and Alfredo Gonzalez
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最新提交年份：
2016
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英文摘要：
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to take place at a finite number of occasions but not bounded in number nor necessarily equally spaced in time. For a given option, there exists an interval bounding the set of possible fair prices; such interval exists under more general conditions than the usual no-arbitrage requirement. The paper develops a backward recursive method to evaluate the option bounds; the global minmax optimization, defining the price interval, is reduced to a local minmax optimization via dynamic programming. Trajectory sets are introduced for which existing non-probabilistic markets models are nested as a particular case. Several examples are presented, the effect of the presence of arbitrage on the price bounds is illustrated.
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中文摘要：
本文研究了基于一般轨迹市场模型的未定权益的子复制和超复制价格界。在轨迹空间中没有事先的概率或拓扑假设，交易假设在有限的场合发生，但在数量上没有界限，在时间上也不一定等距。对于一个给定的期权，存在一个区间来限定可能的公平价格；与通常的无套利要求相比，这种区间存在于更一般的条件下。本文提出了一种计算期权边界的反向递归方法；通过动态规划将定义价格区间的全局极小极大优化问题简化为局部极小极大优化问题。引入轨迹集，将现有的非概率市场模型嵌套为特定情况。给出了几个例子，说明了套利的存在对价格边界的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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