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• W2953190290 abstract "For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. We propose a new approach for estimating the super-replication cost based on convex duality instead of martingale measures duality: Our prices will be expressed using Fenchel conjugate and bi-conjugate. The super-hedging problem leads endogenously to a weak condition of NA called Absence of Immediate Profit (AIP). We propose several characterizations of AIP and study the relation with the classical notions of no-arbitrage. We also give some promising numerical illustrations." @default.
• W2953190290 created "2019-06-27" @default.
• W2953190290 creator A5041761461 @default.
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• W2953190290 date "2018-07-12" @default.
• W2953190290 modified "2023-10-01" @default.
• W2953190290 title "Pricing without martingale measure" @default.
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