No-arbitrage bounds

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

References

  1. 1 2 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.
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