Pricing without martingale measure
Résumé
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.
| Origine | Fichiers produits par l'(les) auteur(s) |
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