Arbitrage and hedging in a non probabilistic framework

作者：Alvarez A; Ferrando S^*; Olivares P

来源：Mathematics and Financial Economics, 2013, 7(1): 1-28.

DOI：10.1007/s11579-012-0074-5

• Arbitrage
• Non-probabilistic models
• Quadratic variation
• Skorohod%26apos
• s distance
• Fractional Brownian motion
• Counting process

The paper studies the existence of arbitrage strategies in models without a semi-martingale structure. This is achieved by starting with a trajectory space that is treated as a topological space. Classes of admissible portfolios are then introduced providing arbitrage free market models in a trajectory based sense. Several examples, extending the trajectory classes of Brownian diffusion, fractional Brownian motion, weak Brownian motion and counting processes illustrate the new approach.

• 出版日期2013-1