英文标题：
《Pricing without martingale measure》
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作者：
Julien Baptiste, Laurence Carassus and Emmanuel L\\\'epinette
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最新提交年份：
2019
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英文摘要：
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.
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中文摘要：
几十年来，无套利（NA）条件和鞅测度在金融资产定价理论中发挥了重要作用。我们提出了一种基于凸对偶而非鞅测度对偶估计超级复制成本的新方法：我们的价格将使用芬切尔共轭和双共轭表示。超级套期保值问题内在地导致了一种称为无即时利润（AIP）的弱NA状态。我们提出了AIP的几个特征，并研究了AIP与无套利的经典概念之间的关系。我们也给出了一些有希望的数值例子。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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