%0 Journal Article
%T Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals
%A Sebastian E. Ferrando
%A Alfredo L. Gonzalez
%A Ivan L. Degano
%A Massoome Rahsepar
%J Quantitative Finance
%D 2014
%I arXiv
%X 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.
%U http://arxiv.org/abs/1407.1769v3