A new method is proposed to obtain the risk neutral probability of share prices without stochastic calculus and price modeling, via an embedding of the price return modeling problem in Le Cam's statistical experiments framework. Strategies-probabilities $P_{t_0,n}$ and $P_{T,n}$ are thus...

Stock prices will rarely follow the assumed model but, when stock's transaction times are dense in the interval $[t_0,T),$ they determine risk neutral probability (-ies) ${\cal P}^*$ for the stock price at time $T.$ The remaining available risk neutral probabilities at $T$ correspond to stock...

A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-parameter estimation problem, thus justifying calling C Bayes (B-)price. The result provides new insight in option...