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]

See also[edit]

References[edit]

  1. ^ a b John R. Birge (2008). Financial Engineering. Elsevier. pp. 521–524. ISBN 978-0-444-51781-4. 
  2. ^ Arai, Takuji; Fukasawa, Masaaki (2011). Convex risk measures for good deal bounds (pdf). Retrieved October 14, 2011.