从离散时间策略到连续时间策略的无套利条件与定价

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2023-04-24 DOI:10.1007/s10436-023-00426-1

Dorsaf Cherif, Emmanuel Lépinette

{"title":"从离散时间策略到连续时间策略的无套利条件与定价","authors":"Dorsaf Cherif, Emmanuel Lépinette","doi":"10.1007/s10436-023-00426-1","DOIUrl":null,"url":null,"abstract":"<div><p>In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then compare the usual no-arbitrage conditions of the literature, e.g. the usual no-arbitrage conditions NFL, NFLVR and NUPBR and the recent AIP condition. With appropriate pseudo-distance topologies, we show that they hold in continuous time if and only if they hold in discrete time. Moreover, the super-hedging prices in continuous time coincide with the discrete-time super-hedging prices, even without any no-arbitrage condition.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2023-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-023-00426-1.pdf","citationCount":"1","resultStr":"{\"title\":\"No-arbitrage conditions and pricing from discrete-time to continuous-time strategies\",\"authors\":\"Dorsaf Cherif, Emmanuel Lépinette\",\"doi\":\"10.1007/s10436-023-00426-1\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then compare the usual no-arbitrage conditions of the literature, e.g. the usual no-arbitrage conditions NFL, NFLVR and NUPBR and the recent AIP condition. With appropriate pseudo-distance topologies, we show that they hold in continuous time if and only if they hold in discrete time. Moreover, the super-hedging prices in continuous time coincide with the discrete-time super-hedging prices, even without any no-arbitrage condition.</p></div>\",\"PeriodicalId\":45289,\"journal\":{\"name\":\"Annals of Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2023-04-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://link.springer.com/content/pdf/10.1007/s10436-023-00426-1.pdf\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annals of Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10436-023-00426-1\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Finance","FirstCategoryId":"1085","ListUrlMain":"https://link.springer.com/article/10.1007/s10436-023-00426-1","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 1

摘要

在本文中，为连续时间金融市场模型开发了一个通用框架，该模型由简单策略通过条件拓扑定义，避免了随机演算，并且不需要半鞅模型。然后，我们比较了文献中常见的无套利条件，例如常见的无无套利条件NFL、NFLVR和NUPBR以及最近的AIP条件。通过适当的伪距离拓扑，我们证明了它们在连续时间内成立，当且仅当它们在离散时间内成立。此外，连续时间内的超级套期保值价格与离散时间的超级套期价格一致，即使没有任何套利条件。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies

In this paper, a general framework is developed for continuous-time financial market models defined from simple strategies through conditional topologies that avoid stochastic calculus and do not necessitate semimartingale models. We then compare the usual no-arbitrage conditions of the literature, e.g. the usual no-arbitrage conditions NFL, NFLVR and NUPBR and the recent AIP condition. With appropriate pseudo-distance topologies, we show that they hold in continuous time if and only if they hold in discrete time. Moreover, the super-hedging prices in continuous time coincide with the discrete-time super-hedging prices, even without any no-arbitrage condition.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance