| Issue |
ESAIM: ProcS
Volume 80, 2025
Journées MAS 2022 - Dynamic and Stochastic Modelling
|
|
|---|---|---|
| Page(s) | 99 - 107 | |
| DOI | https://doi.org/10.1051/proc/202580099 | |
| Published online | 19 March 2025 | |
Pricing without martingale measure
1
Paris-Dauphine university, PSL, Ceremade, CNRS, UMR, Place du Maréchal De Lattre De Tassigny, 75775 Paris cedex 16, France
2
Léonard de Vinci Pôle Universitaire, Research Center, 92 916 Paris La Défense, France
Laboratoire de Mathématiques de Reims, UMR9008 CNRS et Université de Reims Champagne-Ardenne, France
a
e-mail: baptiste@ceremade.dauphine.fr
b
e-mail: laurence.carassus@devinci.fr
c
e-mail: emmanuel.lepinette@ceremade.dauphine.fr
For several decades, the martingale measures have played a major role in financial asset pricing theory. In this paper, we propose an approach based on the conditional support of the asset price increments that avoids the technical diffilcuties arising from the risk-neutral probability measures. This is illustrated by a numerical implementation on real data from the French CAC 40 index.
Key words: Financial market models / CAC 40 / Super-hedging prices / AIP condition / Conditional support / Essential supremum
© EDP Sciences, SMAI 2025
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