Pricing without no-arbitrage condition in discrete time
نویسندگان
چکیده
In a discrete time setting, we study the central problem of giving fair price to some financial product. This has been mostly treated using martingale measures and no-arbitrage conditions. We propose different approach based on convex duality instead duality: The prices are expressed Fenchel conjugate bi-conjugate without any condition. super-hedging resolution leads endogenously weak condition called Absence Instantaneous Profit (AIP) under which finite. this in detail, several characterizations compare it usual NA.
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ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 2022
ISSN: ['0022-247X', '1096-0813']
DOI: https://doi.org/10.1016/j.jmaa.2021.125441