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4. Pricing a European option without risk-neutral probability in discrete time
The content of this section comes from the following articles and . The aim of this work was to produce a pricing method that dispenses with the existence of a neutral risk probability. This is motivated by the following reasons. Firstly, practitioners sometimes observe arbitrage opportunities, which contradicts the NA condition. Secondly, verifying the existence of a neutral risk probability is not obvious in practice, and...
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Pricing a European option without risk-neutral probability in discrete time
Conclusion
Bibliography
- (1) - BAPTISTE (J.), CARASSUS (L.), LÉPINETTE (E.) - Pricing without martingale measure - (2020). https://hal.archives-ouvertes.fr/hal-01774150 .
- (2) - BAPTISTE...
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