![](/assets/images/picto-drapeau-france-3a76576a5d60a512053b4612ab58dae5.png)
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...
Exclusive to subscribers. 97% yet to be discovered!
You do not have access to this resource.
Click here to request your free trial access!
Already subscribed? Log in!
![](/assets/images/logo-eti-286623ed91fa802ce039246e516e5852.png)
The Ultimate Scientific and Technical Reference
This article is included in
Mathematics
This offer includes:
Knowledge Base
Updated and enriched with articles validated by our scientific committees
Services
A set of exclusive tools to complement the resources
Practical Path
Operational and didactic, to guarantee the acquisition of transversal skills
Doc & Quiz
Interactive articles with quizzes, for constructive reading
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...
Websites
The "Black Friday" of the financial markets (2016):
Congrès international Bachelier World Congress :...
Exclusive to subscribers. 97% yet to be discovered!
You do not have access to this resource.
Click here to request your free trial access!
Already subscribed? Log in!
![](/assets/images/logo-eti-286623ed91fa802ce039246e516e5852.png)
The Ultimate Scientific and Technical Reference