No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866917664316719104 |
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| author | Cherif, Dorsaf Lepinette, Emmanuel |
| author_facet | Cherif, Dorsaf Lepinette, Emmanuel |
| contents | In this paper, a general framework is developed for continuous-time 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_07713 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | No-arbitrage conditions and pricing from discrete-time to continuous-time strategies Cherif, Dorsaf Lepinette, Emmanuel Pricing of Securities Probability In this paper, a general framework is developed for continuous-time 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. |
| title | No-arbitrage conditions and pricing from discrete-time to continuous-time strategies |
| topic | Pricing of Securities Probability |
| url | https://arxiv.org/abs/2405.07713 |