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I have run across the term "model-free finance" (e.g. there was a Thalesian talk in London recently), yet haven't found any real definition of it nor anything really substantial.

Could you point me to resources or material which could provide some ideas what this new approach is all about?

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Carefully searching Mark Davis' webpage I found this article Model-Free Methods in Valuation and Hedging of Derivative Securities which seems to be a survey on this topic.

I quote from the abstract:

In contrast to conventional model-based derivative pricing, a recent stream of research aims to investigate what prices are consistent with absence of arbitrage, given only the current prices of traded options on the same underlying. This paper gives a succinct survey of work in this area. After summarising results on the Black-Scholes model, the volatility surface and the Breedon-Litzenberger (BL) and Dupire formulas, the two main streams of work are described.

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  • $\begingroup$ Good to see you here, Richard, and thank you for your answer. So it is mainly about boundaries of derivative-prices, derived with fewer assumptions? Are there any results that seem to be "interesting" enough to justify this new approach. $\endgroup$ – vonjd Oct 26 '17 at 11:31
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    $\begingroup$ @vonjd I found your question interesting and searched the paper. I have to read it myself :) $\endgroup$ – Ric Oct 26 '17 at 12:15
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It sounds a bit like the game-theoretic probability (GTP) of Shafer and Vovk. See http://www.probabilityandfinance.com

As you know when pricing a simple binomial option, instead of talking about risk-neutral measure you can argue directly that a certain price is correct (by linearity essentially). In GTP they keep going in that direction and try to eliminate probability measures in favor of game strategies. So if this is right then model-free really means probability-measure-free.

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