New answers tagged modeling
5
votes
How many options are necessary in computing a "model-free" measure?
Andrea has largely answered your question (+1), namely that a continuum of options are needed to synthesize or price a model free quantity. For instance
$$
E[F(X)] = \int_{-\infty}^{\infty} F(x) p(x) ...
- 2,681
6
votes
Accepted
How many options are necessary in computing a "model-free" measure?
The answer is "depends".
If one can replicate a given payoff using observable prices, then this is by definition a model free price (unless there is arbitrage of course).
The easier case is ...
- 526
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