英文标题：
《Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete
  Markets》
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作者：
Nassim N. Taleb
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最新提交年份：
2014
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英文摘要：
  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 and other strong assumptions. We confirm that the heuristics used by traders for centuries are both more robust, more consistent, and more rigorous than held in the economics literature. We also show that options can be priced using infinite variance (finite mean) distributions.
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中文摘要：
证明在简单假设下，如看跌期权平价的约束条件下，欧洲期权估值的概率测度具有从远期价格得出的平均值，在任何一般概率分布下，该平均值可以（但不必）是风险中性的，绕过Black-Scholes-Merton动态对冲论点，而且不需要完整的市场和其他强有力的假设。我们确认，数百年来交易者使用的启发式方法比经济学文献中的方法更稳健、更一致、更严格。我们还表明，期权可以使用无限方差（有限均值）分布定价。
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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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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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