Proceedings Year : 2023

Pricing without martingale measure

Abstract

For several decades, the martingale measures have played a major role in the  nancial asset's pricing theory. Here, we follow an approach based on the conditional support of the asset price increments. We propose a numerical illustration on real data from the French CAC 40 index.
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Dates and versions

hal-01774150 , version 1 (23-04-2018)
hal-01774150 , version 2 (02-10-2020)
hal-01774150 , version 3 (01-04-2021)
hal-01774150 , version 4 (12-07-2021)

Identifiers

  • HAL Id : hal-01774150 , version 4

Cite

Julien Baptiste, Laurence Carassus, Emmanuel Lépinette. Pricing without martingale measure. ESAIM Proceedings MAS 2022, 2023. ⟨hal-01774150v4⟩
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