The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to a price interval . The approach provides the trajectory based analogue of martingale-like properties as well as a generalization that allows a limited notion of arbitrage in the market while still providing coherent option prices. Several properties of the price bounds are obtained, in particular a connection with risk neutral pricing is established for trajectory markets associated to a martingale model. A result is stated for the evaluation of the price bounds by a recursive procedure .
The paper develops general, discrete, non-probabilistic market models and minmax price bounds leading to price intervals for European options . The approach provides the trajectory based analogue of martingale-like properties as well as a generalization that allows a limited notion of arbitrage in the market while still providing coherent option prices. Several properties of the price bounds are obtained, in particular a connection with risk neutral pricing is established for trajectory markets associated to a continuous-time martingale model .
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a price interval
price intervals for European options
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martingale model. A result is stated for the evaluation of the price bounds by a recursive procedure
continuous-time martingale model