Show simple item record

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBaptiste, Julien
HAL ID: 735376
ORCID: 0000-0002-4297-3455
hal.structure.identifierLaboratoire de Probabilités et Modèles Aléatoires [LPMA]
dc.contributor.authorCarassus, Laurence
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorLépinette, Emmanuel
dc.date.accessioned2018-09-05T14:23:57Z
dc.date.available2018-09-05T14:23:57Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17961
dc.language.isoenen
dc.subjectFinancial market modelsen
dc.subjectSuper-hedging pricesen
dc.subjectNo-arbitrage conditionen
dc.subjectConditional supporten
dc.subjectEssential supremumen
dc.subject.ddc519en
dc.titlePricing without martingale measureen
dc.typeDocument de travail / Working paper
dc.description.abstractenFor several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. Here, we propose a new approach based on convex duality instead of martingale measures duality : our prices will be expressed using Fenchel conjugate and bi-conjugate. This is lead naturally to a weak condition of absence of arbitrage opportunity, called Absence of Immediate Profit (AIP), which asserts that the price of the zero claim should be zero. We study the link between (AIP), (NA) and the no-free lunch condition. We show in a one step model that, under (AIP), the super-hedging cost is just the payoff's concave envelop and that (AIP) is equivalent to the non-negativity of the super-hedging prices of some call option. In the multiple-period case, for a particular, but still general setup, we propose a recursive scheme for the computation of a the super-hedging cost of a convex option. We also give some numerical illustrations.en
dc.identifier.citationpages31en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01774150en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-09-05T14:09:41Z
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record