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The paper develops general, discrete, non-probabilistic market models andminmax price bounds leading to price intervals for European options. Theapproach provides the trajectory based analogue of martingale-like propertiesas well as a generalization that allows a limited notion of arbitrage in themarket while still providing coherent option prices. Several properties of theprice bounds are obtained, in particular a connection with risk neutral pricingis established for trajectory markets associated to a continuous-timemartingale model.

Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals