# Unique Option Pricing Measure with Neither Dynamic Hedging Nor Complete Markets

@article{Taleb2015UniqueOP, title={Unique Option Pricing Measure with Neither Dynamic Hedging Nor Complete Markets}, author={Nassim Nicholas Taleb}, journal={FEN: Other International Corporate Finance (Topic)}, year={2015} }

Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one, under any general probability distribution, bypassing the Black-Scholes-Merton dynamic hedging argument, and without the requirement of complete markets. We confirm that the heuristics used by traders for centuries are both more robust, more consistent, and…

## One Citation

Option Pricing under Randomised GBM Models

- MathematicsReview of Business and Economics Studies
- 2021

By employing a randomisation procedure on the variance parameter of the standard geometric Brownian motion (GBM) model, we construct new families of analytically tractable asset pricing models. In…

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