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

References

  1. ↑ 1.0 1.1 Lua error in package.lua at line 80: module 'strict' not found.
  2. ↑ Lua error in package.lua at line 80: module 'strict' not found.

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