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Article Dans Une Revue Annals of Finance Année : 2023

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

Dorsaf Cherif
  • Fonction : Auteur

Résumé

In this paper, a general framework is developed for continuoustime 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.
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Dates et versions

hal-03284660 , version 1 (12-07-2021)

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Dorsaf Cherif, Emmanuel Lépinette. No-arbitrage conditions and pricing from discrete-time to continuous-time strategies.. Annals of Finance, 2023, 19 (2), pp.141-168. ⟨10.1007/s10436-023-00426-1⟩. ⟨hal-03284660⟩
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