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Title: No-arbitrage pricing beyond semimartingales
Authors: Bender, ChristianSottinen, TommiValkeila, Esko
Issue Date: 2006
Published in: Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik , Volume 1110, ISSN 0946-8633
Publisher: Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
Abstract: We show how no-arbitrage pricing can be extended to some non-semimartingale models by restricting the class of admissible strategies. However, this restricted class is big enough to cover hedges for relevant options. Moreover, we show that the hedging prices depend essentially only on a path property of the stock price process, viz. on the quadratic variation. As a consequence we can incorporate many stylized facts to a pricing model without changing the option prices.
Keywords: Arbitrage; pricing; quadratic variation; robust hedging; stylized facts
DDC: 510
License: This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.
Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.
Appears in Collections:Mathematik

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