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.
No takes yet. Share an insight, caveat, or question.
Baptiste et al. (2025) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: