Arbitrage and Hedging in a non probabilistic framework

Preprint OPEN
Alexander Alvarez; Sebastian Ferrando; Pablo Olivares;
(2011)
  • Subject: Quantitative Finance - Pricing of Securities | Quantitative Finance - General Finance
    arxiv: Computer Science::Computational Engineering, Finance, and Science | Mathematics::Probability | Mathematics::Optimization and Control

The paper studies the concepts of hedging and arbitrage in a non probabilistic framework. It provides conditions for non probabilistic arbitrage based on the topological structure of the trajectory space and makes connections with the usual notion of arbitrage. Several ... View more
  • References (25)
    25 references, page 1 of 3

    ∂v ∂t ∂v ∂x Z T m f (u−, xu−, yu1−, . . . , yum−)Δxu − X i=1

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