A new elementary geometric approach to option pricing bounds in discrete time models

摘要: Abstract The aim of this paper is to provide a new straightforward measure-free methodology based on convex hulls determine the no-arbitrage pricing bounds an option (European or American). pedagogical interest our also briefly discussed. central result, which elementary, presented for one period model and subsequently used multiperiod models. It shows that certain point, called forward must lie inside polygon. Multiperiod models are then considered put American) explicitly computed. We show barycentric coordinates point can be interpreted as martingale measure. An application provided trinomial where measure has simple geometric interpretation in terms areas triangles. Finally, we consider case entropic multi asset framework.