Minimax Asset Price Bounds in Incomplete Markets

@inproceedings{Mello2007MinimaxAP,
  title={Minimax Asset Price Bounds in Incomplete Markets},
  author={A. G. Souza Mello},
  year={2007}
}
This paper develops an approach to tighten the bounds on asset pricing in an incomplete market that combines no-arbitrage pricing and preference-based pricing, and the approach is applied to call options without dynamic rebalancing. With the no-arbitrage pricing, it is straightforward to obtain the initial bounds, which are too wide to be of practical uses… CONTINUE READING