3. Pricing a European option in a full market model with local volatility and neutral risk probability

3.1 Local volatility model

In the following, we consider a continuous-time market model defined by a stochastic basis. $(Ω, {(F_{t})}_{t \in [0, T]})$ and two assets. The first, risk-free, is priced $S_{t}^{0} =$

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Pricing a European option in a full market model with local volatility and neutral risk probability

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Pricing a European option without risk-neutral probability in discrete time

Bibliography

(1) - BAPTISTE (J.), CARASSUS (L.), LÉPINETTE (E.) - Pricing without martingale measure - (2020). https://hal.archives-ouvertes.fr/hal-01774150 .
(2) - BAPTISTE...