scholarly journals Pricing without no-arbitrage condition in discrete time

2021 ◽  
pp. 125441
Author(s):  
Laurence Carassus ◽  
Emmanuel Lépinette
Keyword(s):  
Discrete Time ◽  
No Arbitrage

scholarly journals No-arbitrage with multiple-priors in discrete time

2020 ◽  
Vol 130 (11) ◽  
pp. 6657-6688 ◽  
Author(s):  
Romain Blanchard ◽  
Laurence Carassus
Keyword(s):  
Discrete Time ◽  
Multiple Priors ◽  
No Arbitrage

scholarly journals NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS

2013 ◽  
Vol 25 (4) ◽  
pp. 673-701 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Igor Cialenco ◽  
Rodrigo Rodriguez
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Arbitrage Pricing ◽  
No Arbitrage

scholarly journals Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet

2004 ◽  
Vol 2004 (4) ◽  
pp. 293-309 ◽  
Author(s):  
József Gáll ◽  
Gyula Pap ◽  
Martien C. A. van Zuijlen
Keyword(s):  
Maximum Likelihood ◽  
Interest Rate ◽  
Maximum Likelihood Estimator ◽  
Discrete Time ◽  
Market Price ◽  
Likelihood Estimator ◽  
Market Price Of Risk ◽  
Forward Rates ◽  
No Arbitrage ◽  
Price Of Risk

Discrete-time forward interest rate curve models are studied, where the curves are driven by a random field. Under the assumption of no-arbitrage, the maximum likelihood estimator of the volatility parameter is given and its asymptotic behaviour is studied. First, the so-called martingale models are examined, but we will also deal with the general case, where we include the market price of risk in the discount factor.

No-Arbitrage Valuation of Contingent Claims in Discrete Time

2005 ◽  
Author(s):  
Peter Christoffersen ◽  
Redouane Elkamhi ◽  
Kris Jacobs
Keyword(s):  
Discrete Time ◽  
Contingent Claims ◽  
No Arbitrage

No Arbitrage in Discrete Time Under Portfolio Constraints

2001 ◽  
Vol 11 (3) ◽  
pp. 315-329 ◽  
Author(s):  
Laurence Carassus ◽  
Huye^n Pham ◽  
Nizar Touzi
Keyword(s):  
Discrete Time ◽  
No Arbitrage ◽  
Portfolio Constraints

scholarly journals On the quasi-sure superhedging duality with frictions

2019 ◽  
Vol 24 (1) ◽  
pp. 249-275
Author(s):  
Erhan Bayraktar ◽  
Matteo Burzoni
Keyword(s):  
Transaction Costs ◽  
Financial Market ◽  
Discrete Time ◽  
Natural Condition ◽  
Model Uncertainty ◽  
Original Model ◽  
Restrictive Assumption ◽  
Proportional Transaction Costs ◽  
No Arbitrage ◽  
Portfolio Constraints

AbstractWe prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modelled through solvency cones as in the original model of Kabanov (Finance Stoch. 3:237–248, 1999) adapted to the quasi-sure setup of Bouchard and Nutz (Ann. Appl. Probab. 25:823–859, 2015). Our approach allows removing the restrictive assumption of no arbitrage of the second kind considered in Bouchard et al. (Math. Finance 29:837–860, 2019) and showing the duality under the more natural condition of strict no arbitrage. In addition, we extend the results to models with portfolio constraints.

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