Pointwise arbitrage pricing theory in discrete time
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain abstract (pointwise) fundamental theorem of asset pricing an...
| Հիմնական հեղինակներ: | , , , , |
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| Ձևաչափ: | Journal article |
| Հրապարակվել է: |
Institute for Operations Research and the Management Sciences
2019
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| Ամփոփում: | We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain abstract (pointwise) fundamental theorem of asset pricing and pricing–hedging duality. Our results are general and, in particular, cover both the so-called model independent case as well as the classical probabilistic case of Dalang–Morton–Willinger. Our analysis is scenario-based: a model specification is equivalent to a choice of scenarios to be considered. The choice can vary between all scenarios and the set of scenarios charged by a given probability measure. In this way, our framework interpolates between a model with universally acceptable broad assumptions and a model based on a specific probabilistic view of future asset dynamics. |
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