No-arbitrage bounds
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In financial mathematics, no-arbitrage bounds are mathematical relationships specifying limits on financial portfolio prices. These price bounds are a specific example of good-deal bounds, and are in fact the greatest extremes for good-deal bounds.[1]
The most frequent nontrivial example of no-arbitrage bounds is put-call parity for option prices. In incomplete markets, the bounds are given by the subhedging and superhedging prices.[1][2]
[edit] See also
[edit] References
- ^ a b John R. Birge (2008). Financial Engineering. Elsevier. pp. 521–524. ISBN 9780444517814.
- ^ Arai, Takuji; Fukasawa, Masaaki (2011) (pdf). Convex risk measures for good deal bounds. http://arxiv.org/PS_cache/arxiv/pdf/1108/1108.1273v1.pdf. Retrieved October 14, 2011.
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