We propose a new non parametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove some optimal statistical properties of our estimates....

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage property. We show that prices are coherent if and only if...

"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find that it has a rich and interesting structure that...

In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage property. We show that prices are coherent if and only if...

We propose a new nonparametric technique to estimate the CALL function based on the superhedging principle. Our approach does not require absence of arbitrage and easily accommodates bid/ask spreads and other market imperfections. We prove some optimal statistical properties of our estimates. As...

Finitely additive supermartingale, a concept originally due to Bochner, is revived to study measure decompositions over filtered probability spaces. We obtain versions of the Doob Meyer decomposition for finitely additive and classical supermartingales in a rather general context. Also we obtain...

In this paper we propose a model of asset prices consistent with the no-arbitrage principle but allowing for the existence of quot;bubblesquot; which are explicitely characterized. From a mathematical point of view the main theorem may be read as a measure-theoretic interpretation of local...