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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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Preprints, Working Papers, ...
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Contributor : Emmanuel Lépinette Connect in order to contact the contributor
Submitted on : Monday, July 12, 2021 - 10:46:42 AM
Last modification on : Tuesday, January 18, 2022 - 3:23:31 PM


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  • HAL Id : hal-01774150, version 4


Julien Baptiste, Laurence Carassus, Emmanuel Lépinette. Pricing without martingale measure. 2021. ⟨hal-01774150v4⟩



Les métriques sont temporairement indisponibles