Pricing Without Martingale Measure

  title={Pricing Without Martingale Measure},
  author={Julien Baptiste and Laurence Carassus and Emmanuel L'epinette},
  journal={Capital Markets: Asset Pricing \& Valuation eJournal},
For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. Here, we propose a new approach based on convex duality instead of martingale measures duality : our prices will be expressed using Fenchel conjugate and bi-conjugate. This is lead naturally to a weak condition of absence of arbitrage opportunity, called Absence of Immediate Profit (AIP), which asserts that the price of the zero claim should be zero… 
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