Option Pricing in an Imperfect World

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 the set of pricing measures is non empty, i.e. if pricing by expectation is possible. We then obtain a decomposition of coherent prices highlighting the role of bubbles. eventually we show that under very weak conditions the coherent pricing of options allows for a very clear representation from which it is possible, as in the original work of Breeden and Litzenberger, to extract the implied probability. Eventually we test this conclusion empirically via a new non parametric approach.Comment: The paper has been withdrawn because in the newer version it was split into two different papers, each of which have been uploaded into Arxi

European Administrative Proceedings

Cassese discusses the third strategy of administrative integration, mixed or composite proceedings in which both Community and national authorities participate. Cassese analyzes how the common element takes root in the national part of the proceeding, what the national and supranational parts consist of, and the extent to which they remain distinct or appear instead as a single unit

Finitely Additive Supermartingales

The concept of finitely additive supermartingales, originally due to Bochner, is revived and developed. We exploit it to study measure decompositions over filtered probability spaces and the properties of the associated Doléans-Dade measure. We obtain versions of the Doob-Meyer decomposition and, as an application, we establish a version of the Bichteler and Dellacherie theorem with no exogenous probability measur