The aim of this paper is to provide a new straightforward \textit{measure-free} methodology based on a convex hulls to determine the no-arbitrage pricing bounds of an option (European or American). The pedagogical interest of our methodology is also briefly discussed. The central result, which...

We offer a new simple approach to price European options in incomplete markets using the sole no-arbitrage principle and this only requires to make use of a one-period model; introducing a stochastic process is unnecessary. We show that determining the range of arbitrage-free prices with a...