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- W3123505768 abstract "In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage property. We show that prices are coherent if and only if the set of pricing measures is non empty, i.e. if pricing by expectation is possible. We then obtain a decomposition of coherent prices highlighting the role of bubbles. Eventually we show that under very weak conditions the coherent pricing of options allows for a very clear representation from which it is possible, as in the original work of Breeden and Litzenberger, to extract the implied probability. Eventually we test this conclusion empirically via a new non parametric approach." @default.
- W3123505768 created "2021-02-01" @default.
- W3123505768 creator A5053889871 @default.
- W3123505768 date "2014-06-01" @default.
- W3123505768 modified "2023-09-27" @default.
- W3123505768 title "Option Pricing in an Imperfect World" @default.
- W3123505768 hasPublicationYear "2014" @default.
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